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Testing the long-memory features in return and volatility of NSE index

Ahamed, Naseem; Kalita, Mamoni; Tiwari, Aviral Kumar - In: Theoretical economics letters 5 (2015) 3, pp. 431-440

Persistent link: https://www.econbiz.de/10011396558

Long memory analysis : an empirical investigation

Nazarian, Rafik; Naderi, Esmaeil; Gandali Alikhani, Nadiya - In: International journal of economics and financial issues … 4 (2014) 1, pp. 16-26

Persistent link: https://www.econbiz.de/10010519739

Effects of asset frequency components on value-at-risk in emerging and developed markets : analyses with MODWT and CWT wavelets

Biage, Milton; Nelcide, Pierre Joseph - In: Brazilian review of econometrics : BRE ; the review of … 40 (2020) 1, pp. 145-207

Persistent link: https://www.econbiz.de/10012271374

A quantile regression approach and nonlinear analysis with Archimedean copulas to explain the movements of residential real estate prices

Almeshal, Khalid; Naifar, Nader - In: Afro-Asian Journal of Finance and Accounting : AAJFA 6 (2016) 4, pp. 374-395

Persistent link: https://www.econbiz.de/10011719674

Volatility nexus between Stock Market and macroeconomic variables in Bangladesh : an extended GARCH approach

Hasan, Md. Abu; Zaman, Anita - In: Scientific Annals of Economics and Business 64 (2017) 2, pp. 233-243

Persistent link: https://www.econbiz.de/10011865998

Persistence in ESG and conventional stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...

Persistent link: https://www.econbiz.de/10012520863