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Long memory volatility in Asian stock markets

Duppati, Geeta; Kumar, Anoop S.; Scrimgeour, Frank G.; … - In: Pacific accounting review 29 (2017) 3, pp. 423-442

Persistent link: https://www.econbiz.de/10011759243

The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk

Li, Leon - In: Energy economics 105 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10013201954

Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation

Li, Leon - In: The North American journal of economics and finance : a … 40 (2017), pp. 116-135

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The idiosyncratic risk-return relation : a quantile regression approach based on the prospect theory

Lee, Bong-soo; Li, Leon - In: The journal of behavioral finance : a publication of … 17 (2016) 2, pp. 124-143

Persistent link: https://www.econbiz.de/10011590958

The asymmetric relationship between executive earnings management and compensation : a panel threshold regression approach

Li, Leon; Holmes, Mark J.; Lee, Bong-soo - In: Applied economics 48 (2016) 55/57, pp. 5525-5545

Persistent link: https://www.econbiz.de/10011742078

Earnings management and earnings predictability : a quantile regression approach

Li, Leon; Hwang, Nen-Chen Richard; Nartea, Gilbert V. - In: Australian journal of management 46 (2021) 3, pp. 389-408

Persistent link: https://www.econbiz.de/10012592726

Analysts' forecast dispersion and stock returns : a panel threshold regression analysis based on conditional limited market participation hypothesis

Li, Leon; Chen, Carl R. - In: Finance research letters 18 (2016), pp. 100-107

Persistent link: https://www.econbiz.de/10011656802

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

Are cryptocurrencies a safe haven for stock investors? : a regime-switching approach

Li, Leon; Miu, Peter - In: Journal of empirical finance 70 (2023), pp. 367-385

Persistent link: https://www.econbiz.de/10014423734

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