Similar Search Results

Measuring relative volatility in high-frequency data under the directional change approach

Li, Shengnan; Tsang, Edward P. K.; O'Hara, John - In: Intelligent systems in accounting, finance & management 29 (2022) 2, pp. 86-102

Persistent link: https://www.econbiz.de/10013274251

Defining the field of events

Dolasinski, Mary Jo; Roberts, Chris; Reynolds, Joel; … - In: Journal of hospitality & tourism research : JHTR ; the … 45 (2021) 3, pp. 553-572

Persistent link: https://www.econbiz.de/10012483431

What are bitcoin market reactions to its-related events?

Li, Zhenghui; Chen, Liming; Dong, Hao - In: International review of economics & finance : IREF 73 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012672145

Impact of the political environment on the stock market : an analysis using dummy variables and the GARCH models

Agarwal, Harshit; Agarwal, Rashi - In: The empirical economics letters : a monthly … 17 (2018) 4, pp. 481-487

Persistent link: https://www.econbiz.de/10011913162

Macroeconomic environment of bull markets in Malaysia

Yoke Yue Kan - In: Qualitative research in financial markets 9 (2017) 1, pp. 72-96

Persistent link: https://www.econbiz.de/10011770288

Two decades of contagion effect on stock markets : which events are more contagious?

Iwanicz-Drozdowska, Małgorzata; Rogowicz, Karol; … - In: Journal of financial stability 55 (2021), pp. 1-23

Persistent link: https://www.econbiz.de/10013362234

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10011398115