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Profitability of momentum returns under alternative approaches

Gupta, Kartick; Locke, Stuart; Scrimgeour, Frank G. - In: International journal of managerial finance : IJMF 9 (2013) 3, pp. 219-246

Persistent link: https://www.econbiz.de/10009764939

International comparison of returns from conventional, industrial and 52-week high momentum strategies

Gupta, Kartick; Locke, Stuart; Scrimgeour, Frank G. - In: Journal of international financial markets, … 20 (2010) 4, pp. 423-435

Persistent link: https://www.econbiz.de/10009260247

The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?

Li, Leon; Scrimgeour, Frank G. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 475-497

Persistent link: https://www.econbiz.de/10013334844

Estimating Long Memory Volatility Using High-Frequency Data of Asian Stock Markets

Duppati, Geeta - 2016

This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using 5 minutes intraday return series ranging from 05-jan-2015 to 06-Aug-2015. The study employed ARFIMA-FIGARCH model and ARFIMA-APARCH model and compared...

Persistent link: https://www.econbiz.de/10013003892