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Long memory volatility in Asian stock markets

Duppati, Geeta; Kumar, Anoop S.; Scrimgeour, Frank G.; … - In: Pacific accounting review 29 (2017) 3, pp. 423-442

Persistent link: https://www.econbiz.de/10011759243

The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk

Li, Leon - In: Energy economics 105 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10013201954

Dynamic correlations and domestic-global diversification

Li, Leon - In: Research in international business and finance 39 (2017), pp. 280-290

Persistent link: https://www.econbiz.de/10011876476

Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation

Li, Leon - In: The North American journal of economics and finance : a … 40 (2017), pp. 116-135

Persistent link: https://www.econbiz.de/10011878799

The risks of trading on cryptocurrencies : a regime-switching approach based on volatility jumps and co-jumping behaviours

Li, Leon - In: Applied economics 56 (2024) 7, pp. 779-795

Persistent link: https://www.econbiz.de/10014440127

The idiosyncratic risk-return relation : a quantile regression approach based on the prospect theory

Lee, Bong-soo; Li, Leon - In: The journal of behavioral finance : a publication of … 17 (2016) 2, pp. 124-143

Persistent link: https://www.econbiz.de/10011590958

The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?

Li, Leon; Scrimgeour, Frank G. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 475-497

Persistent link: https://www.econbiz.de/10013334844

Are cryptocurrencies a safe haven for stock investors? : a regime-switching approach

Li, Leon; Miu, Peter - In: Journal of empirical finance 70 (2023), pp. 367-385

Persistent link: https://www.econbiz.de/10014423734

Estimating Long Memory Volatility Using High-Frequency Data of Asian Stock Markets

Duppati, Geeta - 2016

This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using 5 minutes intraday return series ranging from 05-jan-2015 to 06-Aug-2015. The study employed ARFIMA-FIGARCH model and ARFIMA-APARCH model and compared...

Persistent link: https://www.econbiz.de/10013003892

Corporate governance, research and development volatility and firm performance : evidence from Spain and Ireland

Duppati, Geeta; Sune, Albert; Samanta, Navajyoti - In: Cogent economics & finance 5 (2017) 1, pp. 1-16

The present study sheds light on the comparative experiences of the two countries originating from differing legal systems and describes how their codes and practices affect the publicly listed firms’ performance. It investigates the linkages between Research and Development (R&D)...

Persistent link: https://www.econbiz.de/10011878394