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Information and volatility links in the foreign exchange market

Sirimon Treepongkaruna; Gray, Stephen - In: Accounting and finance : journal of the Accounting … 49 (2009) 2, pp. 385-405

Persistent link: https://www.econbiz.de/10003859699

Banking crises : identifying dates and determinants

Jutasompakorn, Pearpilai; Brooks, Robert; Brown, Christine - In: Journal of international financial markets, … 32 (2014), pp. 150-166

Persistent link: https://www.econbiz.de/10011299799

How does trading volume affect financial return distributions?

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 35 (2014), pp. 190-206

Persistent link: https://www.econbiz.de/10010530243

Do sovereign re-ratings destabilize equity markets during financial crises? : new evidence from higher return moments

Brooks, Robert; Faff, Robert W.; Sirimon Treepongkaruna; … - In: Journal of business finance & accounting : JBFA 42 (2015) 5/6, pp. 777-799

Persistent link: https://www.econbiz.de/10011442342

Realized spill-over effects between stock and foreign exchange market : evidence from regional analysis

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna - In: Global finance journal 28 (2015), pp. 24-37

Persistent link: https://www.econbiz.de/10011478085

Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Hum, … - In: Applied financial economics 21 (2011) 13/15, pp. 997-1003

Persistent link: https://www.econbiz.de/10009317447

Stock and currency market linkages : new evidence from realized spillovers in higher moments

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of economics & finance : IREF 42 (2016), pp. 167-185

Persistent link: https://www.econbiz.de/10011625106

Thai financial markets and political change

Sutsarun Lumjiak; Sirimon Treepongkaruna; Wee, Marvin; … - In: Journal of financial management, markets and institutions 2 (2014) 1, pp. 5-26

Persistent link: https://www.econbiz.de/10011949641

Trading Activity and Realized Volatility : Evidence with Decomposed Trading Volume and Order Imbalance

Ting, Sze Shih - 2010

This study investigates the relation between decomposed trading volume (number of trades and average trade size) and realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and investigate whether buyer and seller initiated trades as...

Persistent link: https://www.econbiz.de/10013138999

Generalized Impulse Response Analysis in a Fractionally Integrated Vector Autoregressive Model

Do, Hung Xuan - 2016

We develop a generalized impulse response function for the fractionally integrated vector autoregressive (FIVAR) model using the Pesaran and Shin (1998) approach. Our method is different from the methodology shown in Chung (2001) since it does not require us to orthogonalize the error vector...

Persistent link: https://www.econbiz.de/10013008490