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Strict stationarity, persistence and volatility forecasting in ARCH (∞) processes
Davidson, James E. H.; Li, Xiaoyu - In: Journal of empirical finance 38 (2016), pp. 534-547
Persistent link: https://www.econbiz.de/10011663340
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A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects
Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10012054880
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Generalized runs tests to detect randomness in hedge funds returns
Hentati-Kaffel, Rania; De Peretti, Philippe - In: Journal of banking & finance 50 (2015), pp. 608-615
Persistent link: https://www.econbiz.de/10010510178
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Impact of introducing derivatives trading on volatilities of sectoral stock indices in India
Pal, Suparna Nandy; Chattopadhyay, Arup Kr. - In: Research bulletin / The Institute of Cost Accountants … 38 (2013), pp. 168-184
Persistent link: https://www.econbiz.de/10011419780
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Measuring persistence in volatility spillovers
Conrad, Christian; Weber, Enzo - 2013
conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign …
Persistent link: https://www.econbiz.de/10009771200
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How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10010338365
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Measuring persistence in volatility spillovers : conference paper
Conrad, Christian; Weber, Enzo - Wettbewerbspolitik und Regulierung in einer Globalen … - 2013
conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a …
Persistent link: https://www.econbiz.de/10010341118
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Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index
Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613
Persistent link: https://www.econbiz.de/10011485602
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Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116
standard information criteria, volatility persistence and the log likelihood statistic, showed that results improved with … of volatility breaks reduces the level of persistence in most of the models. The study recommends the incorporation of …
Persistent link: https://www.econbiz.de/10011476095
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A comparative analysis of the nature of stock return volatility in BRICS and G7 markets
Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-27
:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …
Persistent link: https://www.econbiz.de/10012872753