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The impact of inflation rate announcements on interest rate volatility : Australian evidence

Silvapulle, Paramsothy; Pereira, Robert; Lee, John H. H. - 1993

Persistent link: https://www.econbiz.de/10000878845

The impact of inflation rate announcements on interest rate volatility : Australian evidence

Silvapulle, Paramsothy; Pereira, Robert; Lee, John H. - 1993

Persistent link: https://www.econbiz.de/10000142832

Analysis of dependence in the G11 countries' financial markets : simulation and empirical evidence

Silvapulle, Paramsothy; Azam, Mohammad N.; Yeasmin, Mahbuba - In: Applied financial economics letters 3 (2007) 4/6, pp. 211-214

Persistent link: https://www.econbiz.de/10003604817

Testing for linear and nonlinear Granger causality in the stock price-volume relation : Korean evidence

Silvapulle, Paramsothy - 1997

Persistent link: https://www.econbiz.de/10000985392

Nonparametric estimation and parametric calibration of time-varying coefficient realized volatility models

Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, … - 2013

Persistent link: https://www.econbiz.de/10010189526

Nonparametric estimation and forecasting for time-varying coefficient realized volatility models

Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 88-100

Persistent link: https://www.econbiz.de/10011894402

Panel data analysis of multi-factor capital asset pricing models

Makwasha, Tariro; Wright, Jill; Silvapulle, Paramsothy - In: Applied economics 51 (2019) 60, pp. 6459-6475

Persistent link: https://www.econbiz.de/10012197351

Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models

Chen, Xiangjin Bruce - 2013

This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coefficients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for...

Persistent link: https://www.econbiz.de/10013076694