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Lamont, Owen A.; Polk, Christopher; Saá-Requejo, Jesús - 1997

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Wu, Chunchi - In: Advances in quantitative analysis of finance and … 7 (1999), pp. 83-96

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Tests of dividend signaling using the Marsh-Merton Model : a generalized friction approach

Kao, Chihwa - In: The journal of business : B 67 (1994) 1, pp. 45-68

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The impact of the 1986 tax reform on ex-dividend day volume and price behavior

Wu, Chunchi - In: National tax journal 49 (1996) 2, pp. 177-192

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Multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

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Daily market news sentiment and stock prices

Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2015

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The booms and busts of beta arbitrage

Lou, Dong; Polk, Christopher; Huang, Shiyang - 2014

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Realized stochastic volatility with general asymmetry and long memory

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2017 - Revised: April 2017

The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The contribution of the paper ties in with Robert Basmann's seminal work in terms of the estimation of...

Persistent link: https://www.econbiz.de/10011636455

Realized stochastic volatility with general asymmetry and long memory

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2017 - Revised: April 2017

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The booms and busts of beta arbitrage

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Persistent link: https://www.econbiz.de/10011550863