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Asymmetric volume volatility causality in dual listing H-shares

Dey, Malay K.; Wang, Chaoyan - In: The journal of asset management : a major new, … 23 (2022) 5, pp. 419-428

Persistent link: https://www.econbiz.de/10013392097

Jensen's inequality for g-convex function under g-expectation

Jia, Guangyan; Peng, Shige - In: Probability theory and related fields 147 (2010) 1/2, pp. 217-239

Persistent link: https://www.econbiz.de/10003969115

The political economy of fiscal policy : public deficits, volatility, and growth

Woo, Jaejoon - 2006

Persistent link: https://www.econbiz.de/10008732466

The Political Economy of Fiscal Policy : Public Deficits, Volatility, and Growth

Woo, Jaejoon - 2006

deficit or volatility problems, while others do not? What factors are most important in explaining cross-country variation in …

Persistent link: https://www.econbiz.de/10013520531

Asset-pricing implications of dividend volatility

Li, Yan; Yang, Liyan - In: Management science : journal of the Institute for … 59 (2013) 9, pp. 2036-2055

Persistent link: https://www.econbiz.de/10010194838

The speed of convergence to market efficiency on NASDAQ hedging stocks

Huang, Han-Ching; Su, Yong-chern; Yang, Ming-yu - In: Investment management and financial innovations 10 (2013) 2, pp. 84-92

Persistent link: https://www.econbiz.de/10010201089

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

An empirical characterization of volatility dynamics in the DAX

Virla, Leonardo Quero - 2021

, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model …This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term … where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its …

Persistent link: https://www.econbiz.de/10012629944

Conditional heteroskedasticity in the volatility of asset returns

Ding, Yashuang - 2021

Persistent link: https://www.econbiz.de/10013262866

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

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