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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …
Persistent link: https://www.econbiz.de/10010461231
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Volatility and causality in strategic commodities : characteristics, myth and evidence
Youngho, Chang; Fang, Zheng; Hamori, Shigeyuki - In: International journal of economics and finance 9 (2017) 8, pp. 162-178
Persistent link: https://www.econbiz.de/10011714755
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Financial time series: methods and models
Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3
The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...
Persistent link: https://www.econbiz.de/10012304649
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Dynamic interactive cycles during the 2008 financial crisis
Neokosmidis, Ioannis M.; Polimenis, Vassilis - In: Modern economy 1 (2010) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10009306012
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Long memory behavior in the returns of Pakistan Stock Market : ARFIMA-FIGARCH models
Turkyilmaz, Serpil; Balibey, Mesut - In: International journal of economics and financial issues … 4 (2014) 2, pp. 400-410
Persistent link: https://www.econbiz.de/10010520466
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Measuring time-varying financial market integration : an unobserved components approach
Berger, Tino; Pozzi, Lorenzo - In: Journal of banking & finance 37 (2013) 2, pp. 463-473
Persistent link: https://www.econbiz.de/10009705640
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From oil to stock markets
Guesmi, Khaled; Boubaker, Heni; Lai, Van Son - In: Journal of economic integration 31 (2016) 1, pp. 103-133
Persistent link: https://www.econbiz.de/10011451684
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Oil and stock returns : evidence from European industrial sector indices in a time-varying environment
Degiannakisa, Stavros; Filis, George; Floros, Christos - In: Journal of international financial markets, … 26 (2013), pp. 175-191
Persistent link: https://www.econbiz.de/10010234924
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Volatility transmission across financial markets : a semiparametric analysis
Kolaiti, Theoplasti; Mboya, Mwasi; Sibbertsen, Philipp - In: Journal of risk and financial management : JRFM 13 (2020) 8/160, pp. 1-13
foreign exchange markets to see whether there is fractional cointegration between the markets in one trading zone or for one …. Applying a purely semiparametric approach through the whole analysis shows fractional cointegration can only be found for a … small minority of different cases. Investigating further we find that all volatility series show persistence breaks during …
Persistent link: https://www.econbiz.de/10012322368
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The time-varying causality between spot and futures crude oil prices : a regime switching approach
Balcilar, Mehmet; Gungor, Hasan; Hammoudeh, Shawkat - In: International review of economics & finance : IREF 40 (2015), pp. 51-71
Persistent link: https://www.econbiz.de/10011571896