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Do stock prices impact consumption and interest rate in South Africa? : evidence from a time-varying vector autoregressive model

Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - In: Journal of emerging market finance 14 (2015) 2, pp. 176-196

Persistent link: https://www.econbiz.de/10011378505

Price discovery in bitcoin spot or futures during the Covid-19 pandemic? : Evidence from the time-varying parameter vector autoregressive model with stochastic volatility

Azhar Mohamad; Inani, Sarveshwar Kumar - In: Applied economics letters 30 (2023) 19, pp. 2749-2757

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Stock market asymmetries : a copula diffusion

Stefanova, Denitsa - 2012

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Inference on self-exciting jumps in prices and volatility using high frequency measures

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Bayesian dynamic modeling of high-frequency integer price changes

Barra, Istvan; Koopman, Siem Jan - 2016

We investigate high-frequency volatility models for analyzing intra-day tick by tick stock price changes using Bayesian estimation procedures. Our key interest is the extraction of intra-day volatility patterns from high-frequency integer price changes. We account for the discrete nature of the...

Persistent link: https://www.econbiz.de/10011456723