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Random matrix theory and cross-correlations of stock prices
Rosenow, B.; Gopikrishnan, P.; Plerou, V.; Stanley, H. E. - In: Empirical science of financial fluctuations : the …, (pp. [27]-34). 2002
Persistent link: https://www.econbiz.de/10001679223
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Dynamics of correlations in the stock market
Drożdż, S.; Grümmer, F.; Ruf, François; Speth, J. - In: Empirical science of financial fluctuations : the …, (pp. [41]-50). 2002
Persistent link: https://www.econbiz.de/10001679227
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Another look at large-cap stock return comovement : a semi-Markov-switching approach
Deng, Kaihua - In: Computational economics 51 (2018) 2, pp. 227-262
Persistent link: https://www.econbiz.de/10011963666
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Modelling stock returns with negative autocorrelations
Kanto, Antti J.; Tuovila, Olavi A. - 1990
Persistent link: https://www.econbiz.de/10000798266
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Special quotes invoke autocorrelation in Japanese stock prices
Tsutsui, Yoshirō; Hirayama, Kenjiro; Tanaka, Takahiro; … - In: Asian economic journal : journal of the East Asian … 21 (2007) 4, pp. 369-386
Persistent link: https://www.econbiz.de/10003632880
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
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Response asymmetries in Asian stock markets
Doong, Shuh-Chyi; Yang, Sheng-Yung; Chiang, Thomas C. - In: Review of Pacific Basin financial markets and policies 8 (2005) 4, pp. 637-657
Persistent link: https://www.econbiz.de/10003280288
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The generality of spurious predictability
Cho, Jin-Wan; Shin, Jhinyoung; Singh, Rajdeep - In: Finance research letters 1 (2004) 4, pp. 203-214
Persistent link: https://www.econbiz.de/10003307409
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The relationship between insider trading and volume-induced return autocorrelation
Gilbert, Aaron (contributor);  … - 2005
As was establihed in Llorenteetal (2001) the dynamic relationship between return and volume is a function of information asymmetry. This study extends their analysis by linking the volume induced return auto correlarion coefficients with the level of disclosed insider trading. Using New Zealand...
Persistent link: https://www.econbiz.de/10003314379
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Effects of order flow imbalance on short-horizon contrarian strategies in the Australian equity market
Lo, Kevin; Coggins, Richard - In: Pacific-Basin finance journal 14 (2006) 3, pp. 291-310
Persistent link: https://www.econbiz.de/10003339186