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Asymmetric effects and long memory in the volatility of Dow Jones stocks

Scharth, Marcel; Medeiros, Marcelo C. - In: International journal of forecasting 25 (2009) 2, pp. 304-327

Persistent link: https://www.econbiz.de/10003870060

Asymmetric effects and long memory in the volatility of Dow Jones stocks /Marcel Scharth; Marcelo C. Medeiros

Scharth, Marcel (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003404373

Asymmetry and leverage in realized volatility

Asai, Manabu (contributor); McAleer, Michael (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003780794

Anticipatory effects in the FTSE 100 index revisions

Fernandes, Marcelo; Mergulhão, João - In: Journal of empirical finance 37 (2016), pp. 79-90

Persistent link: https://www.econbiz.de/10011662945

Anticipatory effects in the FTSE 100 index revisions

Fernandes, Marcelo; Mergulhão, João - 2015

This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition, which employs publicly-known objective criteria to determine membership. Hence, it provides a natural context to investigate anticipatory trading effects. We propose a panel-regression...

Persistent link: https://www.econbiz.de/10011405289

Desempenho de estimadores de volatilidade na Bolsa de Valores de São Paulo

Mota, Bernardo de Sá (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001713608

Desempenho de estimadores de volatilidade na Bolsa de Valores de São Paulo

Mota, Bernardo de Sá (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001703196

Nonparametric entropy-based tests of independence between stochastic processes

Fernandes, Marcelo; Néri, Breno de Andrade Pinheiro - In: Econometric reviews 29 (2010) 3, pp. 276-306

Persistent link: https://www.econbiz.de/10003965134

Desempenho de estimadores de volatilidade na bolsa de valores de São Paulo

Mota, Bernardo de Sá; Fernandes, Marcelo - In: Revista brasileira de economia : RBE ; revista da … 58 (2004) 3, pp. 429-448

Persistent link: https://www.econbiz.de/10003189365

Anticipatory Effects in the FTSE 100 Index Revisions

Fernandes, Marcelo - 2011

This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition. We focus on the latter index because it employs publicly-known objective criteria to determine membership and hence it provides a natural context to investigate anticipatory trading...

Persistent link: https://www.econbiz.de/10013120554