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Asymmetry in volatility : a comparison of developed and transition stock markets
Wdowinski, Piotr; Malecka, Marta - 2010
econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to …
Persistent link: https://www.econbiz.de/10003942099
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Seasonal, size and value anomalies
Jacobsen, Ben; Mamun, Abdullah al; Visaltanachoti, Nuttawat - 2005
Persistent link: https://www.econbiz.de/10003332070
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Are there Monday effects in stock returns : a stochastic dominance approach
Cho, Young-Hyun (contributor); Linton, Oliver (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003388972
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Intraday and weekend volatility patterns : implications for option pricing
Sundkvist, Kim (contributor); Vikström, Mikael (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001557353
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Modelling the day-of-the week effect in the Kuwait stock exchange index : an non-linear GARCH representation
Loughani, Nabeel E. al; Chappell, David - 1998
Persistent link: https://www.econbiz.de/10000990918
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Macroeconomic announcements, volatility and interrelationships : an examination of the UK bond and stock markets
Jones, Bradley (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001565287
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Cross-sectional dispersion of risk in trading time
Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - 2019
Persistent link: https://www.econbiz.de/10012124980
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Estimation of jump tails
Bollerslev, Tim; Todorov, Viktor - 2010
Persistent link: https://www.econbiz.de/10003959796
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Estimation of jump tails
Bollerslev, Tim; Todorov, Viktor - 2011
Persistent link: https://www.econbiz.de/10009559404
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Semiparametric diffusion estimation and application to a stock market index
Härdle, Wolfgang (contributor) - 2001
Persistent link: https://www.econbiz.de/10001595495