Narrow search
Showing 1 - 10 of 26,667
Cover Image
Comovement, liquidity and asymmetries
Xiong, James X. - In: Journal of investment management : JOIM 19 (2021) 1, pp. 90-108
Persistent link: https://www.econbiz.de/10012814373
Cover Image
Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market
Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760
Persistent link: https://www.econbiz.de/10011907915
Cover Image
An empirical analysis of market structure and the pattern of time varying return volatility on the stock markets of Western Europe
Panda, Ajaya Kumar; Nanda, Swagatika - In: Asian African journal of economics and econometrics 13 (2013) 1, pp. 35-51
Persistent link: https://www.econbiz.de/10010206654
Cover Image
Forecasting financial volatility of the Athens stock exchange daily returns : an application of the asymmetric normal mixture GARCH model
Drakos, Anastassios A.; Kouretas, Georgios P.; … - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 331-350
Persistent link: https://www.econbiz.de/10008811307
Cover Image
Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
Cover Image
Sentiment's effect on the variance of stock returns
Olson, Eric; Nowak, Adam - In: Applied economics letters 27 (2020) 18, pp. 1469-1473
Persistent link: https://www.econbiz.de/10012315615
Cover Image
Portfolio optimization under distribution uncertainty with a feature fusion of conditional skewness GARCH model
Khan, Yousaf Ali; Ahmad, Muneeb; Ahmad, Muhammad Munir - In: International journal of financial engineering 10 (2023) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10014304236
Cover Image
Investigating impact of volatility persistence and information inflow on volatility of stock indices using bivarite GJR-GARCH
Sinha, Pankaj; Agnihotri, Shalini - In: Global business review 17 (2016) 5, pp. 1145-1161
Persistent link: https://www.econbiz.de/10011644073
Cover Image
Stock return volatility and trading volume relationships captured with stable Paretian GARCH and Threshold GARCH models
Naka, Atsuyuki; Oral, Ece - In: Journal of business & economics research 11 (2013) 1, pp. 47-52
Persistent link: https://www.econbiz.de/10009726502
Cover Image
Stock Market Volatility Dynamics : A Volume Filtered-GARCH Model
Bonelli, Maxime - 2016
. Finally, we find that unexpected shocks in volume and the persistent GARCH component are both main drivers of volatility …We present a two-factor volatility model to study the impact of news arrival and trading volume on stock returns … variance. The model can explicitly account for the association between volatility and volume, as well as the persistence in …
Persistent link: https://www.econbiz.de/10012997324