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Profitability of trading in the direction of asset price jumps : analysis of multiple assets and frequencies

Fičura, Milan - In: Prague economic papers : a bimonthly journal of … 28 (2019) 4, pp. 385-401

Persistent link: https://www.econbiz.de/10012130976

Demystifying Time-Series Momentum Strategies : Volatility Estimators, Trading Rules and Pairwise Correlations

Baltas, Nick - 2019

-series momentum strategies on turnover and performance. We show that more efficient volatility estimation and price trend detection …

Persistent link: https://www.econbiz.de/10012905544

A data paradigm to operationalise expanded filtration : realized volatilities and kernels from non-synchronous NASDAQ quotes and trades

Chakravarty, Ranjan R.; Pani, Sudhanshu - In: Journal of quantitative economics 19 (2021) 4, pp. 617-652

Persistent link: https://www.econbiz.de/10012663902

Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54

Persistent link: https://www.econbiz.de/10012630868

Risk estimation with a time-varying probability of zero returns

Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309

Persistent link: https://www.econbiz.de/10013187979

A copula-GARCH model of conditional dependencies : estimating Tehran Market Stock Exchange value-at-risk

Shams, Sedigheh; Haghighi, Fatemeh K. - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 39-50

Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. It is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology based on fitting ARIMA, GARCH and ARMA-GARCH models and...

Persistent link: https://www.econbiz.de/10009769897