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Modelling the volatility of the tanker freight market based on improved empirical mode decomposition

Zhang, Jiao; Zeng, Qingcheng - In: Applied economics 49 (2017) 17, pp. 1655-1667

Persistent link: https://www.econbiz.de/10011813513

Fractional integration and asymmetric volatility in European, American and Asian bull and bear markets : application to high-frequency stock data

Yaya, OlaOluwa S.; Gil-Alaña, Luis A.; Shittu, … - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 276-290

Persistent link: https://www.econbiz.de/10011348408

Predicting future price volatility : empirical evidence from an emerging limit order market

Jain, Pawan; Jiang, Christine X. - In: Pacific-Basin finance journal 27 (2014), pp. 72-93

Persistent link: https://www.econbiz.de/10010499715

Intraday periodicity and volatility forecasting : evidence from Indian crude oil futures market

Chakrabarti, Binay Bhushan; Rajvanshi, Vivek - In: Journal of emerging market finance 16 (2017) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011691174

Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; Khan, … - In: Journal of risk and financial management : JRFM 12 (2019) 2/74, pp. 1-13

This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that the QML estimator performs as well as CLS and...

Persistent link: https://www.econbiz.de/10012022130

Analysis of spillover effects between stock market volatility and macroeconomic volatility using GARCH-MIDAS model

Lee, Young Im; Lee, Jin - In: Journal of economic research 23 (2018) 2, pp. 109-130

Persistent link: https://www.econbiz.de/10011904106

Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market

Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760

Persistent link: https://www.econbiz.de/10011907915

High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets

Mensi, Walid; Sensoy, Ahmet; Aslan, Aylin; Kang, Sang Hoon - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-16

Persistent link: https://www.econbiz.de/10012203700

Is Bitcoin a hedge or safe haven for currencies? : an intraday analysis

Urquhart, Andrew; Zhang, Hanxiong - In: International review of financial analysis 63 (2019), pp. 49-57

Persistent link: https://www.econbiz.de/10012207368

Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data

Tan, Shay Kee; Kok Haur Ng; Chan, Jennifer So Kuen; … - In: The North American journal of economics and finance : a … 47 (2019), pp. 537-551

Persistent link: https://www.econbiz.de/10012120126