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Inside volatility arbitrage : the secrets of skewness

Javaheri, Alireza - 2005

Persistent link: https://www.econbiz.de/10013490205

Modeling jumps and volatility of the indian stock market using high-frequency data

Sen, Rituparna; Mehrotra, Pulkit - In: Journal of quantitative economics 14 (2016) 1, pp. 137-150

Persistent link: https://www.econbiz.de/10012418200

Shifts in volatility driven by large stock market shocks

Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of economic dynamics & control 55 (2015), pp. 130-147

Persistent link: https://www.econbiz.de/10011587216

Modeling jumps and volatility of the Indian stock market using high-frequency data

Sen, Rituparna; Mehrotra, Pulkit - In: Journal of quantitative economics : official journal of … 14 (2016) 1, pp. 137-150

Persistent link: https://www.econbiz.de/10011639870

Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

Persistent link: https://www.econbiz.de/10012023869