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Daily seasonality in crude oil returns and volatilities

Auer, Benjamin R. - In: Energy economics 43 (2014), pp. 82-88

Persistent link: https://www.econbiz.de/10010504173

Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

-linearity, and multiple seasonality or time-varying correlations. Our study indicates that the joint dual long-memory process can …

Persistent link: https://www.econbiz.de/10013272684

Empirical evidence on calendar anomalies in trading and non-trading day returns in Indian stock market

Tuyekar, Suraj Prakash; Padyala, Sri Ram; Ramesh, … - In: Finance India : the quarterly journal of Indian … 37 (2023) 3, pp. 899-918

Persistent link: https://www.econbiz.de/10014583105

Estimating hedging effectiveness using variance reduction and risk-return approaches : evidence from national stock exchange of India

Kaur, Mandeep; Gupta, Kapil - In: Copernican Journal of Finance & Accounting : CJF&A 8 (2019) 4, pp. 149-169

Persistent link: https://www.econbiz.de/10012242114

Measuring conditional hedging effectiveness : a GARCH approach

Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 17 (2018) 9, pp. 1159-1171

Persistent link: https://www.econbiz.de/10012006781

Cross hedging stock sector risk with index futures by considering the global equity systematic risk

Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange … hedging stock sector exposures compared with the TAIEX and Taiwan 50 futures. Simultaneous hedge using both NFNE and MSCI …

Persistent link: https://www.econbiz.de/10011883272

A study to examine time-varying effectiveness of stock returns on Tehran stock exchange

SiamiNamini, Rahele; RahnamaRoudposhti, Fereydoun; … - In: International journal of financial research 4 (2013) 2, pp. 154-161

Persistent link: https://www.econbiz.de/10010205102

Seasonality Effects through ARCH and GARCH Model : Evidence from Shanghai Stock Market (China)

Ahmed, Rizwan - 2016

trend of returns on holiday effects. The ARCH and GARCH model of all three seasonality effects showing significant results … holiday effect. The evidences of weekend effect observed on Friday along with seasonality effect on alternate days of the week …

Persistent link: https://www.econbiz.de/10012984798

Empirical investigation of select NSE sector specific indices to ascertain seasonality & asymmetries in their return & volatility

Shahani, Rakesh; Sharma, Ananya - In: Business analyst : a refereed journal of Shri Ram … 41 (2020) 1, pp. 55-80

Persistent link: https://www.econbiz.de/10013177289

Calendar effects in Bitcoin returns and volatility

Kinateder, Harald; Papavassiliou, Vassilios G. - In: Finance research letters 38 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012485376

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