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Predictability and herding of bourse volatility : an econophysics analogue

Ghosh, Bikramaditya; Krishna, Mysore Chidambareswaran; … - In: Investment management and financial innovations 15 (2018) 2, pp. 317-326

Persistent link: https://www.econbiz.de/10012055468

On the time varying nature of herding behaviour: evidence from major European indices

Stavroyiannis, Stavros; Babalos, Vassilios - In: Global business & economics review 17 (2015) 3, pp. 298-309

Persistent link: https://www.econbiz.de/10011498524

What does financial volatility tell us about macroeconomic fluctuations?

Chauvet, Marcelle; Senyuz, Zeynep; Yoldas, Emre - In: Journal of economic dynamics & control 52 (2015), pp. 340-360

Persistent link: https://www.econbiz.de/10011474221

Herding behavior during the Covid-19 pandemic : a comparison between Asian and European stock markets based on intraday multifractality

Aslam, Faheem; Ferreira, Paulo; Ali, Haider; Kauser, Sumera - In: Eurasian economic review : a journal in applied … 12 (2022) 2, pp. 333-359

Persistent link: https://www.econbiz.de/10013263377

Multifractal analysis of volatility for detection of herding and bubble : evidence from CNX Nifty HFT

Ghosh, Bikramaditya; Kozarević, Emira - In: Investment management and financial innovations 16 (2019) 3, pp. 182-193

Persistent link: https://www.econbiz.de/10012159372

Herding, a-synchronous updating and heterogeneity in memory in a CBS

Diks, Cees G. H.; Weide, Roy van der - 2003

explicit nature of the dynamics of the CBS we show that the introduction of herding modifies the random walk to an ARIMA($0 …

Persistent link: https://www.econbiz.de/10011334332

Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets

Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

Persistent link: https://www.econbiz.de/10011964941