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Multivariate Fractionally Integrated APARCH Modeling of Stock MarketVolatility: A multi-country study

Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - Alfred-Weber-Institut für Sozial- und …; … - 2008

Tse (1998) proposes a model which combines the fractionally integrated GARCH formulationof Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding,Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant...

Persistent link: https://www.econbiz.de/10009262200

Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study

Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - In: Journal of empirical finance 18 (2011) 1, pp. 147-159

Persistent link: https://www.econbiz.de/10009301149

Derivatives trading and the volume-volatility link in the Indian stock market

Bhaumik, Sumon Kumar; Karanasos, Menelaos; Kartsaklas, A. - 2008

Persistent link: https://www.econbiz.de/10003792668

Dual long-memory, structural breaks and the link between turnover and the range-based volatility

Karanasos, Menelaos; Kartsaklas, A. - In: Journal of empirical finance 16 (2009) 5, pp. 838-851

Persistent link: https://www.econbiz.de/10003900413

The volume-volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997

Kim, J.; Kartsaklas, A.; Karanasos, Menelaos - In: Asia-Pacific financial markets 12 (2005) 3, pp. 245-271

Persistent link: https://www.econbiz.de/10003407437

Modelling stock volatilities during financial crises : a time varying coefficient approach

Karanasos, Menelaos; Paraskevopoulos, Alexandros G.; … - In: Journal of empirical finance 29 (2014), pp. 113-128

Persistent link: https://www.econbiz.de/10011300501

Derivatives trading and the volume : volatility link in the Indian stock market

Bhaumik, Sumon Kumar; Karanasos, Menelaos; Kartsaklas, A. - 2013

Persistent link: https://www.econbiz.de/10009767846

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871

Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

Persistent link: https://www.econbiz.de/10012138660

Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods : A Dual Long-Memory Model for the Korean Stock Exchange

Caporale, Guglielmo Maria - 2020

Persistent link: https://www.econbiz.de/10012845690