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Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility
Feng, Yuanhua; McNeil, Alexander J. - In: Economic modelling 25 (2008) 5, pp. 850-867
Persistent link: https://www.econbiz.de/10003800096
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The econometrics of the "market model" : cointegration, error correction and exogeneity
Mills, Terence C. - In: International journal of finance & economics : IJFE 1 (1996) 4, pp. 275-286
Persistent link: https://www.econbiz.de/10001211526
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Simultaneously modelling conditional heteroskedasticity and scale change
Feng, Yuanhua - 2002
Persistent link: https://www.econbiz.de/10001686434
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Simultaneously modeling conditional heteroskedasticity and scale change
Feng, Yuanhua - In: Econometric theory 20 (2004) 3, pp. 563-596
Persistent link: https://www.econbiz.de/10002068275
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On the dynamic interdependence of international stock markets : a Swiss perspective
Isakov, Dušan; Pérignon, Christophe - 1999
Persistent link: https://www.econbiz.de/10001488308
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Long-term dependence in stock returns
Barkoulas, John T. - In: Economics letters 53 (1996) 3, pp. 253-259
Persistent link: https://www.econbiz.de/10001216270
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Measuring true stock index value in the presence of infrequent trading
Jokivuolle, Esa - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 3, pp. 455-464
Persistent link: https://www.econbiz.de/10001217159
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The asymptotic distribution of extreme stock market returns
Longin, François M. - In: The journal of business : B 69 (1996) 3, pp. 383-408
Persistent link: https://www.econbiz.de/10001203930
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Statistical analysis of risk surrogates for Hong Kong Hang Seng Index constituent stocks
Chan, Daniel P. - In: Asian economies (1991), pp. 77-93
Persistent link: https://www.econbiz.de/10001106220
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Predicting index returns with morphological filters
Kanto, Antti J. - 1995
Persistent link: https://www.econbiz.de/10000907558