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Do jumps matter in both equity market returns and integrated volatility : a comparison of Asian developed and emerging markets

Zada, Hassan; Hassan, Arshad; Wong, Wing Keung - In: Economies : open access journal 9 (2021) 2, pp. 1-26

In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and emerging markets from February 2001 to...

Persistent link: https://www.econbiz.de/10012548334

What proportion of time is a particular market inefficient? : a method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions

Ahmed, Muhammad Farid; Satchell, Stephen - In: Journal of time series econometrics 10 (2018) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10011898000

On testing for bubbles during hyperinflations

Morita, Rubens; Psaradakis, Zacharias G.; Sola, Martin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 25-37

Persistent link: https://www.econbiz.de/10014506885

Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations

Pedersen, Thomas Quistgaard - 2020

bubbles, can lead to severe size distortionswhen using either fixed or automatic (based on information criteria) lag … housing bubbles compared to existing evidence …

Persistent link: https://www.econbiz.de/10012854659