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Modeling dynamic diurnal patterns in high frequency financial data

Ito, Ryoko - 2013

Persistent link: https://www.econbiz.de/10009737686

Month-of-the-year effect : empirical evidence from Indian stock market

Elangovan, Rajesh; Irudayasamy, Francis Gnanasekar; … - In: Asia Pacific financial markets 29 (2022) 3, pp. 449-476

Persistent link: https://www.econbiz.de/10013397536

High frequency correlation dynamics and day-of-the-week effect : a score-driven approach in an emerging market stock exchange

Bahcivan, Hulusi; Karahan, Cenk C. - In: International review of financial analysis 80 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013366247

Day-of-the-week effect on stock returns in India : effect of economic reforms

Sarkar, Nityananda - In: The Asian economic review : journal of the Indian … 44 (2002) 1, pp. 103-110

Persistent link: https://www.econbiz.de/10001702585

Capturing the stock market volatility : a study of sectoral indices in India using symmetric GARCH models

Khera, Aastha; Goyal, Anisha; Yadav, Miklesh Prasad - In: International journal of management practice : IJMP 15 (2022) 6, pp. 820-833

Persistent link: https://www.econbiz.de/10013415146

A study to examine time-varying effectiveness of stock returns on Tehran stock exchange

SiamiNamini, Rahele; RahnamaRoudposhti, Fereydoun; … - In: International journal of financial research 4 (2013) 2, pp. 154-161

Persistent link: https://www.econbiz.de/10010205102

The turn-of-the-month-effect : evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) model

Giovanis, Eleftherios - In: International journal of economic sciences and applied … 7 (2014) 3, pp. 43-61

first is the symmetric Generalized ARCH (1,1) model. However, previous studies found that volatility tends to increase more … higher seasonality in volatility rather on average returns. For this reason the Periodic-GARCH (1,1) is estimated. The …

Persistent link: https://www.econbiz.de/10010509192

Calendar effects in Bitcoin returns and volatility

Kinateder, Harald; Papavassiliou, Vassilios G. - In: Finance research letters 38 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012485376

Volatility and calendar anomaly through GARCH model : evidence from the selected G20 stock exchanges

Mishra, Shraddha - In: International journal of business and globalisation : IJBG 19 (2017) 1, pp. 126-144

Persistent link: https://www.econbiz.de/10011847647

Relationship between conditional volatility of domestic macroeconomic factors and conditional stock market volatility : some further evidence from India

Kumari, Jyoti; Mahakud, Jitendra - In: Asia-Pacific financial markets 22 (2015) 1, pp. 87-111

Persistent link: https://www.econbiz.de/10010511544

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