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Persistent link: https://www.econbiz.de/10009428082

Time-changed GARCH versus GARJI model for extreme events : an empirical study

Kao, Lie Jane; Wu, Po-Cheng; Lee, Cheng F. - 2024

Persistent link: https://www.econbiz.de/10015046799

Intraday patterns, announcement effects, and volatility persistence in the Japanese government bond futures market

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Variation in stock return risks : an international comparison

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R-2GAM stochastic volatility model : flexibility and calibration

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Volatility persistence of high-frequency returns in the Japanese government bond futures market

Shi, Weihua; Lee, Cheng F. - In: Review of Pacific Basin financial markets and policies 11 (2008) 4, pp. 511-530

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Intraday return volatility process : evidence from NASDAQ stocks

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Volatility Persistence of High-Frequency Returns in the Japanese Government Bond Futures Market

Shi, Weihua - 2010

The availability of a two-year high-frequency transaction data of the Japanese Government Bond (JGB) futures provides us with an opportunity to uncovering volatility persistence in high-frequency returns and testing the mixed-distribution-hypothesis (MDH) in this market. Both time-domain and...

Persistent link: https://www.econbiz.de/10013150586