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Speed of convergence to market efficiency : example of top loser stocks

Huang, Han-Ching; Su, Yong-chern; Shih, Chun-Chi - In: International journal of economics and financial issues … 3 (2013) 3, pp. 591-601

Persistent link: https://www.econbiz.de/10010518975

Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction

Amendola, Alessandra; Storti, Giuseppe - In: Journal of forecasting 34 (2015) 2, pp. 83-91

Persistent link: https://www.econbiz.de/10011305317

A volatility-based single parameter Loss Given Default model

Yang, Hank - In: Journal of risk management in financial institutions 8 (2015) 2, pp. 196-210

Persistent link: https://www.econbiz.de/10011306351

Stock market spread trading : Argentina and Brazil stock indexes

Batten, Jonathan A.; Szilágyi, Péter G.; Wong, … - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 61-76

Persistent link: https://www.econbiz.de/10010465142

How candlestick features affect the performance of volatility forecasts : evidence from the stock market

Su, Jung-bin - In: The European journal of finance 21 (2015) 4/6, pp. 486-506

Persistent link: https://www.econbiz.de/10010528953

Revisiting the CAPM model with quantile regression : creating investment strategies on the Zagreb Stock Exchange

Škrinjarić, Tihana; Slišković, Marina - In: International journal of economics and business … 19 (2020) 3, pp. 266-289

Persistent link: https://www.econbiz.de/10012205614

Money laundering risk in developing and transitive economies : analysis of cyclic component of time series

Levchenko, Valentyna; Boyko, Anton; Bozhenko, Victoria; … - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 20 (2019), pp. 492-508

volatility and persistence using the Hurst exponent. We determined the peaks, downturns and duration of the money laundering …

Persistent link: https://www.econbiz.de/10012221542

Exchange rate volatility and foreign portfolio investment in Nigeria

Ogundipe, Adeyemi A.; Alabi, Joys; Asaleye, Abiola John; … - In: Investment management and financial innovations 16 (2019) 3, pp. 241-250

Persistent link: https://www.econbiz.de/10012159380

Bivariate volatility modeling with high-frequency data

Matei, Marius; Rovira, Xari; Agell, Núria - In: Econometrics : open access journal 7 (2019) 3/41, pp. 1-15

We propose a methodology to include night volatility estimates in the day volatility modeling problem with high … the natural relationship between the realized measure and the conditional variance. This improves volatility modeling by … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …

Persistent link: https://www.econbiz.de/10012160811

A global-optimal portfolio theory beyond the R-σ model

Liua, Yifan; Liang, Shi-Dong - In: Frontiers of economics in China : selected publications … 15 (2020) 1, pp. 124-139

Persistent link: https://www.econbiz.de/10012227506