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A variance-ratio test of random walk in international stock markets

Li, Bin; Liu, Benjamin - In: The empirical economics letters : a monthly … 11 (2012) 8, pp. 775-782

Persistent link: https://www.econbiz.de/10010199252

Structural breaks and testing for the random walk hypothesis in international stock prices

Chancharat, Surachai; Valadkhani, Abbas - In: The journal of the Korean economy 8 (2007) 1, pp. 21-38

Persistent link: https://www.econbiz.de/10009771405

Signaling Asset Price Bubbles with Time-Series Methods

Taipalus, Katja - 2012

This paper provides an early warning indicator for bubbles in financial markets. The indicator is based on traditional unit root tests, more precisely on the augmented Dickey-Fuller test and may be used in a repeated manner with rolling samples. The performance of the indicator is tested...

Persistent link: https://www.econbiz.de/10013111338

The random walk behaviour of stock prices : a comparative study

Cooray, Arusha - 2003

Persistent link: https://www.econbiz.de/10001962060

Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models

Idier, Julien - In: The European journal of finance 17 (2011) 1/2, pp. 27-48

Persistent link: https://www.econbiz.de/10009155466

Fractional integration and volatility transmission between real estate and stock markets : novel evidence from a FIGARCH-BEKK approach

Kyriakou, Maria I.; Koulakiotis, Athanasios; Kiohos, … - In: The journal of real estate finance and economics 66 (2023) 4, pp. 939-962

Persistent link: https://www.econbiz.de/10014258997

Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? : Comparing squared end-of-day returns on ftse

Allen, David E.; McAleer, Michael - In: Risks : open access journal 8 (2020) 1/12, pp. 1-20

Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV …

Persistent link: https://www.econbiz.de/10012203997

Volatility in international stock markets : an empirical study during COVID-19

Chaudhary, Rashmi; Bakhshi, Priti; Gupta, Hemendra - In: Journal of risk and financial management : JRFM 13 (2020) 9/208, pp. 1-17

countries based on GDP using a widely applied econometric model-generalized autoregressive conditional heteroscedasticity (GARCH … variance regressor in GARCH modeling, is found to be positive and significant for all market indices. Furthermore, the results …

Persistent link: https://www.econbiz.de/10012384430

Asymmetric patterns in international stock prices : evidence of random walk and reverting behaviour

McMillan, David G. - In: Journal of world economic review 14 (2019) 2, pp. 243-260

Persistent link: https://www.econbiz.de/10012311001

The transmission of international stock market volatilities

Budd, Bruce Q. - In: Journal of economics and finance 42 (2018) 1, pp. 155-173

Persistent link: https://www.econbiz.de/10011978148

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