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Technical trading rules for nonlinear dynamics of stock returns : evidence from the G-7 stock markets
Choe, Kwang-il; Krausz, Joshua; Nam, Kiseok - In: Review of quantitative finance and accounting 36 (2011) 3, pp. 323-353
Persistent link: https://www.econbiz.de/10009272482
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Trading with asymmetric volatility spillovers
Alañón Pardo, Ángel; Torró, Hipòlit - In: Journal of business finance & accounting : JBFA 34 (2007) 9/10, pp. 1548-1568
Persistent link: https://www.econbiz.de/10003626840
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Intraday asymmetric liquidity and asymmetric volatility in FTSE-100 futures market
Xiang, Ju; Zhu, Xiaoneng - In: Journal of empirical finance 25 (2014), pp. 134-148
Persistent link: https://www.econbiz.de/10010462048
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Order aggressiveness and order book dynamics
Hall, Anthony D.; Hautsch, Nikolaus - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 973-1005
Persistent link: https://www.econbiz.de/10003233831
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Did equity market volatility increase following the opening of emerging markets to foreign investors?
Spyrou, Spyros I.; Kassimatis, Konstantinos - In: Journal of economic development 24 (1999) 1, pp. 39-51
Persistent link: https://www.econbiz.de/10001397239
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GARCH for irregularly spaced financial data : the ACD-GARCH model
Ghysels, Eric (contributor); Jasiak, Joann (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 2 (1997) 4, pp. 133-149
Persistent link: https://www.econbiz.de/10001769687
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Do Short Selling Restrictions Destabilize Stock Returns? Lessons from Taiwan
Bohl, Martin T. - 2011
Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …
Persistent link: https://www.econbiz.de/10013125910
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Do Short Selling Restrictions Destabilize Stock Markets? Lessons from Taiwan
Bohl, Martin T. - 2011
Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …
Persistent link: https://www.econbiz.de/10013126007
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Option-based forecasts of volatility : an empirical study in the DAX-index options market
Muzzioli, Silvia - In: The European journal of finance 16 (2010) 5/6, pp. 561-586
Persistent link: https://www.econbiz.de/10008698557
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Overnight news and daily equity trading risk limits
Ahoniemi, Katja; Fuertes, Ana María; Olmo, Jose - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 525-551
Persistent link: https://www.econbiz.de/10011623670