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New evidence on sources of leverage effects in individual stocks

Smith, Geoffrey Peter - In: The financial review : the official publication of the … 50 (2015) 3, pp. 331-340

Persistent link: https://www.econbiz.de/10011338155

Quarticity estimation on ohlc data

Balter, Janine - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 505-519

Persistent link: https://www.econbiz.de/10011339287

Fractional integration and asymmetric volatility in European, American and Asian bull and bear markets : application to high-frequency stock data

Yaya, OlaOluwa S.; Gil-Alaña, Luis A.; Shittu, … - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 276-290

Persistent link: https://www.econbiz.de/10011348408

Modeling volatility spillover effects between developed stock markets and Asian emerging stock markets

Li, Yanan; Giles, David E. A. - In: International journal of finance & economics : IJFE 20 (2015) 2, pp. 155-177

Persistent link: https://www.econbiz.de/10011348426

Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions

Belke, Ansgar; Gokus, Christian - In: International journal of economics and finance 6 (2014) 7, pp. 53-70

Persistent link: https://www.econbiz.de/10010384712

Asset-pricing implications of dividend volatility

Li, Yan; Yang, Liyan - In: Management science : journal of the Institute for … 59 (2013) 9, pp. 2036-2055

Persistent link: https://www.econbiz.de/10010194838

The speed of convergence to market efficiency on NASDAQ hedging stocks

Huang, Han-Ching; Su, Yong-chern; Yang, Ming-yu - In: Investment management and financial innovations 10 (2013) 2, pp. 84-92

Persistent link: https://www.econbiz.de/10010201089

Forecasting volatility of stock indices with ARCH model

Alam, Md. Zahangir; Siddikee, Md. Noman; Masukujjaman, Md. - In: International journal of financial research 4 (2013) 2, pp. 126-143

Persistent link: https://www.econbiz.de/10010205105

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Investor's sentiments and stock market volatility : an empirical evidence from emerging stock market

Ur Rehman, Mobeen - In: Pakistan journal of commerce and social sciences 7 (2013) 1, pp. 80-90

proxies the data on which has been collected mainly from the Karachi stock exchange. Volatility of the stock market returns …

Persistent link: https://www.econbiz.de/10010260221