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Intensity of price and volatility spillover effects in Asia-Pacific basin equity markets

Abidin, Sazali; Reddy, Krishna; Zhang, Chun - In: Australasian accounting business and finance journal : AABF 8 (2014) 5, pp. 3-18

Persistent link: https://www.econbiz.de/10010520433

Modelling energy spot prices : empirical evidence from NYMEX

Nomikos, Nikos K.; Andriosopoulos, Kostas - In: Energy economics 34 (2012) 4, pp. 1153-1169

Persistent link: https://www.econbiz.de/10009688111

Do energy and gold markets interact with Islamic stocks? : evidence from the Asia-Pacific markets

Avazkhodjaev, Salokhiddin; Mukhamedov, Farkhod; … - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 3, pp. 197-208

Persistent link: https://www.econbiz.de/10013283918

Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach

Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....

Persistent link: https://www.econbiz.de/10014581582

Revisiting the auto-regressive integrated moving average approach to modelling volatility using Bahrain all share index daily returns

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Persistent link: https://www.econbiz.de/10014424552