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Intraday volatility and scaling in high frequency foreign exchange markets
Seemann, Lars; McCauley, Joseph L.; Gunaratne, Gemunu H. - In: International review of financial analysis 20 (2011) 3, pp. 121-126
Persistent link: https://www.econbiz.de/10009295805
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Intraday volatility and volume in China's stock index and index futures markets
Nishimura, Yusaku; Sun, Bianxia - In: Asia-Pacific journal of financial studies 44 (2015) 6, pp. 932-955
Persistent link: https://www.econbiz.de/10011471124
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Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation
Tse, Yiu Kuen; Dong, Yingjie - In: Journal of empirical finance 28 (2014), pp. 352-361
Persistent link: https://www.econbiz.de/10011285621
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Persistence of announcement effects on the intraday volatility of stock returns : evidence from individual data
Uctum, Remzi; Renou-Maissant, Patricia; Prat, Georges; … - In: Review of financial economics : RFE 35 (2017), pp. 43-56
Persistent link: https://www.econbiz.de/10011959408
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Intraday price and volatility spillovers between Japanese and Korean stock markets
Kang, Sang Hoon; Yoon, Seong-min - In: Korea and the world economy 15 (2014) 2, pp. 185-207
Persistent link: https://www.econbiz.de/10010414245
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Hedging dynamics and intraday volatility in equity market : an analysis of Covid-19 pandemic and global financial crisis
Misra, Nachiketa; Lakshmi, P; Thenmozhi, M. - In: Finance India : the quarterly journal of Indian … 36 (2022) 2, pp. 819-834
Persistent link: https://www.econbiz.de/10013477319
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Did cryptomarket chaos unleash Silvergate's bankruptcy? : investigating the high-frequency volatility and connectedness behind the collapse
Esparcia, Carlos; Escribano, Ana; Jareño, Francisco - In: Journal of international financial markets, … 89 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014490072
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Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks
Voges, Michelle; Leschinski, Christian; Sibbertsen, Philipp - 2017 - This version: June 28, 2017
It is well known that intraday volatilities and trading volumes exhibit strong seasonal features. These seasonalities are usually modeled using dummy variables or deterministic functions. Here, we propose a test for seasonal long memory with a known frequency. Using this test, we show that...
Persistent link: https://www.econbiz.de/10011673153
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The UHF-GARCH-type model in the analysis of intraday volatility and price durations : the Bayesian approach
Huptas, Roman - In: Central European journal of economic modelling and … 8 (2016) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011634876
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Cryptocurrencies intraday high-frequency volatility spillover effects using univariate and multivariate GARCH models
Ampountolas, Apostolos - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-22
volatility of four widely traded cryptocurrencies, i.e., Bitcoin, Ethereum, Litecoin, and Ripple, by modeling volatility to … forecast the intraday price volatility. We evaluate the results under the MSE and MAE loss functions. Statistical analyses … the TGARCH(1,1), which are the best models for modeling the volatility process on out-of-sample data and have more …
Persistent link: https://www.econbiz.de/10013368338