This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of … exponent as a measure of persistence. The results indicate that persistence is sensitive to the data frequency. More … addition, persistence varies over time. These findings imply that the Efficient Market Hypothesis (EMH) only holds in the case …

returns fall sharply; (2) it rises as the stock market volatility increases; (3) it also rises when general financial market …

(ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility … an impact on the volatility of commodity prices, predominantly for non-energy commodities. However, the impact on … volatility is not symmetric across all commodities. The analysis of index investment and investors’ positions in futures markets …

relevant driver of returns, especially during periods of high speculative demand volatility. These findings confirm significant …

suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and …

. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly …

. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly …

breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …