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A direct test of the divided capture hypothesis

Karpoff, Jonathan M. - 1995

Persistent link: https://www.econbiz.de/10001216232

Generalized impulse responses of vector autoregressions with time-varying coefficients

Neumann, Thorsten - 2001

Persistent link: https://www.econbiz.de/10001598268

Asymmetric mispricing and regime-dependent dynamics in index futures and options markets

Lee, Jaeram; Ryu, Doojin - In: Asian economic journal : journal of the East Asian … 30 (2016) 1, pp. 47-65

Persistent link: https://www.econbiz.de/10011525887

Estimating unknown arbitrage costs : evidence from a three-regime threshold vector error correction model

Ters, Kristyna; Urban, Jörg - 2018

Persistent link: https://www.econbiz.de/10011865846

Explaining international stock correlations with CPI fluctuations and market volatility

Cai, Yijie; Chou, Ray Yeutien; Li, Dan - In: Journal of banking & finance 33 (2009) 11, pp. 2026-2035

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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...