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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

Can stale oil price news predict stock returns?

Narayan, Paresh Kumar - In: Energy economics 83 (2019), pp. 430-444

Persistent link: https://www.econbiz.de/10012176160

Measuring and testing the impact of news on volatility

Engle, Robert F. - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1749-1778

Persistent link: https://www.econbiz.de/10001155967

Jumps in equilibrium prices and asymmetric news in foreign exchange markets

El Ouadghiri, Imane; Uctum, Remzi - In: Economic modelling 54 (2016), pp. 218-234

Persistent link: https://www.econbiz.de/10011642112

Jumps in equilibrium prices and asymmetric news in foreign exchange markets

El Ouadghiri, Imane; Uctum, Remzi - 2015

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Antipersistence in German stock returns

Kunze, Karl-Kuno; Strohe, Hans Gerhard - 2010

Persistence of stock returns is an extensively studied and discussed theme in the analysis of financial markets. Antipersistence is usually attributed to volatilities. However, not only volatilities but also stock returns can exhibit antipersistence. Antipersistent noise has a somewhat rougher...