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Modelling long memory dependence structure using FIGARCH-copula approach : evidence from major Asian stock markets
Gupta, Pankaj Kumar; Mittal, Prabhat - In: Global business & economics review 30 (2024) 1, pp. 56-71
Persistent link: https://www.econbiz.de/10014490993
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A comparison between parametric and nonparametric volatility forecasting of stock index futures in China
Jiang, Rui; Wen, Conghua - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 9, pp. 2522-2537
Persistent link: https://www.econbiz.de/10013354977
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Aggregate profit instability and time variations in momentum returns : evidence from China
Yin, Libo; Wei, Ya - In: Pacific-Basin finance journal 60 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012232699
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Technical and fundamental trading in the Chinese stock market : evidence based on time-series and panel data
Moosa, Imad A.; Li, Larry - In: Emerging markets finance & trade : a journal of the … 47 (2011), pp. 23-31
Persistent link: https://www.econbiz.de/10009299040
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Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
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The role of high-frequency data in volatility forecasting : evidence from the China stock market
Liu, Min; Lee, Chien-chiang; Choo, Wei Chong - In: Applied economics 53 (2021) 22, pp. 2500-2526
Persistent link: https://www.econbiz.de/10012501284
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Forecasting the volatility of the dow jones islamic stock market index : long memory vs. regime switching
Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014
properties of the Dow Jones Islamic Stock Market Index (DJIM) and explore its volatility dynamics using a number of up … traditional asset classes, and estimation results and forecasting performance for various volatility models are also in line with …
Persistent link: https://www.econbiz.de/10010348307
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Discrete wavelet transform-based prediction of stock index : a study on national stock exchange fifty index
Jothimani, Dhanya; Shankar, Ravi; Yadav, Surendra S. - In: Journal of financial management and analysis : … 28 (2015) 2, pp. 35-49
Persistent link: https://www.econbiz.de/10011535334
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Forecasting the volatility of the Dow Jones Islamic Stock Market Index : long memory vs. regime switching
Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014
prop- erties of the Dow Jones Islamic Stock Market Index (DJIM) and ex- plore its volatility dynamics using a number of up …
Persistent link: https://www.econbiz.de/10010406941
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Stock market volatility modeling and forecasting with a special reference to BSE sensex
Malepati, Venkataramanaiah; Challa, Madhavi Latha; … - In: Research in finance 35 (2019), pp. 105-118
Persistent link: https://www.econbiz.de/10012228119