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Volatility clustering : a nonlinear theoretical approach

He, Xue-zhong; Li, Kai; Wang, Chuncheng - 2015

Persistent link: https://www.econbiz.de/10011777504

Volatility clustering : a nonlinear theoretical approach

He, Xue-zhong; Li, Kai; Wang, Chuncheng - In: Journal of economic behavior & organization : JEBO 130 (2016), pp. 274-297

Persistent link: https://www.econbiz.de/10011701919

US dollar real exchange rates : nonlinearity revisited

Sollis, Robert - In: Journal of international money and finance 27 (2008) 4, pp. 516-528

Persistent link: https://www.econbiz.de/10003717294

Are RiskMetrics forecasts good enough? : evidence from 31 stock markets

McMillan, David G.; Kambouroudis, Dimos - In: International review of financial analysis 18 (2009) 3, pp. 117-124

Persistent link: https://www.econbiz.de/10003880020

GARCH modeling of robust market returns

Cuadro-Sáez, Lucía (contributor); … - 2007

Daily financial market returns (as log difference in closing prices) may be quite sensitive to operation with low trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust estimation of market returns by providing a new indicator that...