Narrow search
Showing 1 - 10 of 31,291
Cover Image
Empirical evidence on jumps and large fluctuations in individual stocks
Doung, Diep; Swanson, Norman R. - 2011
contribution to overall realized variation and their contribution to predictive regressions of realized volatility. We find … individual stocks. -- Itô semi-martingale ; realized volatility ; jumps ; quadratic volatility ; multipower variation ; tripower …
Persistent link: https://www.econbiz.de/10009151972
Cover Image
Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim (contributor); Dijk, Dick van (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003754160
Cover Image
The detection and estimation of long memory in stochastic volatility
Breidt, F. Jay - In: Journal of econometrics 83 (1998) 1, pp. 325-348
Persistent link: https://www.econbiz.de/10001336943
Cover Image
Estimating the density tail index for financial time series
Kearns, Phillip - In: The review of economics and statistics 79 (1997) 2, pp. 171-175
Persistent link: https://www.econbiz.de/10001222499
Cover Image
Stock market volatility and fractional integration
Cheung, Yin-Wong - In: International journal of finance & economics : IJFE 1 (1996) 4, pp. 263-273
Persistent link: https://www.econbiz.de/10001211528
Cover Image
Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence
Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012518664
Cover Image
Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data
Ji, Qiang; Liu, Bing-Yue; Cuñado Eizaguirre, Juncal; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012658792
Cover Image
What affects the relationship between oil prices and the U.S. stock market? : a mixed-data sampling copula approach
Gong, Yuting; Bu, Ruijun; Chen, Qiang - In: Journal of financial econometrics 20 (2022) 2, pp. 253-277
Persistent link: https://www.econbiz.de/10013187978
Cover Image
A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market : evidence from over a century of data
Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula E. - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 384-400
Persistent link: https://www.econbiz.de/10012814585