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Time series analysis of speculative returns
Ding, Zhuanxin - 1994
Persistent link: https://www.econbiz.de/10000915963
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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
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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The new finance : overreaction, complexity, and uniqueness
Haugen, Robert A. - 2004 - 3. ed.
Persistent link: https://www.econbiz.de/10001786555
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Spillovers of US market volatility and monetary policy uncertainty to global stock markets
Chiang, Thomas C. - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10013187644
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Empirical analysis of conditional heteroskedasticity in time series of stock returns and asymmetric effect on volatility
Kumar, Rakesh; Dhankar, Raj S. - In: Global business review 11 (2010) 1, pp. 21-33
Persistent link: https://www.econbiz.de/10003959232
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Overnight information and opening prices on the New York Stock Exchange
Freedman, Ruth Janine; Terry, Eric - 1993
Persistent link: https://www.econbiz.de/10000998686
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High frequency data analysis in an emerging and a developed market
Palágyi, Zoltán; Kőrösi, Gábor; Mantegna, Rosario N. - In: Empirical science of financial fluctuations : the …, (pp. [102]-109). 2002
Persistent link: https://www.econbiz.de/10001679243
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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