Similar Search Results

Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303

Persistent link: https://www.econbiz.de/10003870055

A study to examine time-varying effectiveness of stock returns on Tehran stock exchange

SiamiNamini, Rahele; RahnamaRoudposhti, Fereydoun; … - In: International journal of financial research 4 (2013) 2, pp. 154-161

Persistent link: https://www.econbiz.de/10010205102

Time-variations in commodity price jumps

Diewald, Laszlo; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of empirical finance 31 (2015), pp. 72-84

Persistent link: https://www.econbiz.de/10011489343

Daily seasonality in crude oil returns and volatilities

Auer, Benjamin R. - In: Energy economics 43 (2014), pp. 82-88

Persistent link: https://www.econbiz.de/10010504173

Non-Parametric Estimation of Intraday Spot Volatility : Disentangling Instantaneous Trend and Seasonality

Vatter, Thibault - 2016

's dynamic properties may lead to misestimation of the intraday spot volatility …

Persistent link: https://www.econbiz.de/10013007161

Seasonality in High Frequency Time Series

Proietti, Tommaso; Pedregal, Diego J. - 2021

Time series observed at higher frequencies than monthly frequency display complex seasonal patterns that result from the combination of multiple seasonal patterns (with annual, monthly, weekly and daily periodicities) and varying periods, due to the irregularity of the calendar. The paper deals...

Persistent link: https://www.econbiz.de/10013240258

Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out … conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …

Persistent link: https://www.econbiz.de/10013272684

Empirical investigation of select NSE sector specific indices to ascertain seasonality & asymmetries in their return & volatility

Shahani, Rakesh; Sharma, Ananya - In: Business analyst : a refereed journal of Shri Ram … 41 (2020) 1, pp. 55-80

Persistent link: https://www.econbiz.de/10013177289

Calendar effects in Bitcoin returns and volatility

Kinateder, Harald; Papavassiliou, Vassilios G. - In: Finance research letters 38 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012485376

Seasonal long memory in intra-day volatility and trading volume of Dow Jones stocks

Voges, Michelle; Leschinski, Christian; Sibbertsen, Philipp - In: International financial markets, (pp. 200-224). 2019

Persistent link: https://www.econbiz.de/10012249050

1
2
3
4
5
6
7
8
9
10
Next
Last