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Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation
Tse, Yiu Kuen; Dong, Yingjie - In: Journal of empirical finance 28 (2014), pp. 352-361
Persistent link: https://www.econbiz.de/10011285621
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The UHF-GARCH-type model in the analysis of intraday volatility and price durations : the Bayesian approach
Huptas, Roman - In: Central European journal of economic modelling and … 8 (2016) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011634876
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Persistence of announcement effects on the intraday volatility of stock returns : evidence from individual data
Uctum, Remzi; Renou-Maissant, Patricia; Prat, Georges; … - In: Review of financial economics : RFE 35 (2017), pp. 43-56
Persistent link: https://www.econbiz.de/10011959408
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Selected techniques of detecting structural breaks in financial volatility
Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 32-43
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. …
Persistent link: https://www.econbiz.de/10011393264
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How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10010338365
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The economic value of volatility forecasts : a conditional approach
Taylor, Nicholas - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 433-478
Persistent link: https://www.econbiz.de/10010391951
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An empirical characterization of volatility dynamics in the DAX
Virla, Leonardo Quero - 2021
This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term …, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model … where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its …
Persistent link: https://www.econbiz.de/10012629944
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Scaling by the square-root-of-time rule : an empirical investigation using five market indexes
Cameron, James; Gulati, Chandra M.; Lin, Yan-xia - In: Journal of risk 19 (2016) 2, pp. 61-80
Persistent link: https://www.econbiz.de/10013177083
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Strategic asset allocation and Markov Regime Switch with GARCH
Simi, Wei W. - In: The journal of business and economic studies 19 (2013) 1, pp. 41-51
Persistent link: https://www.econbiz.de/10009776452
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Conditional heteroskedasticity in the volatility of asset returns
Ding, Yashuang - 2021
Persistent link: https://www.econbiz.de/10013262866