Narrow search
Showing 1 - 10 of 2,642
Cover Image
COVID-19 pandemic and Romanian stock market volatility : a GARCH approach
Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29
This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...
Persistent link: https://www.econbiz.de/10012626337
Cover Image
Statistical properties of microstructure noise
Jacod, Jean; Li, Yingying; Zheng, Xinghua - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 4, pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Cover Image
ACD-Modelle
Ng, Wing Lon - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 36 (2007) 8, pp. 400-404
Persistent link: https://www.econbiz.de/10003520558
Cover Image
Random walks and market efficiency : evidence from Indian stock market
Tripathy, Nalini Prava - In: International journal of economics and business research 6 (2013) 2, pp. 210-228
Persistent link: https://www.econbiz.de/10010351158
Cover Image
Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
Cover Image
The Lognormal Autoregressive Conditional Duration (LNACD) Model and a Comparison with an Alternative ACD Models
Xu, Yongdeng - 2014
Engle and Russell (1998) introduce the autoregressive conditional duration (ACD) model to model the dynamics of financial duration. It is recognized that the ACD model can be specified in ARMA form. We show that as long as the innovations of the ACD model follows a lognormal distribution, the...
Persistent link: https://www.econbiz.de/10013060503
Cover Image
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - In: Quantitative finance 21 (2021) 5, pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
Cover Image
Modeling stock market returns under self-exciting threshold autoregressive model : evidence from West Africa
Gyamfi, Emmanuel Numapau; Kyei, Kwabena A. - In: International journal of economics and financial issues … 6 (2016) 3, pp. 1194-1199
Persistent link: https://www.econbiz.de/10011698077
Cover Image
Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
descriptive statistics, autocorrelation function (ACF) and Ljung-Box Q (LB-Q) statistics, as well as the autoregressive …
Persistent link: https://www.econbiz.de/10011862130
Cover Image
Predictive recursion maximum likelihood of threshold autoregressive model
Pathairat Pastpipatkul; Woraphon Yamaka; Songsak … - In: Robustness in econometrics, (pp. 349-362). 2017
Persistent link: https://www.econbiz.de/10011801427