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Fractal structure of the stock markets of leading asian countries

Günay, Samet - In: Journal of East Asian economic integration 18 (2014) 4, pp. 367-394

In this study, we examined the fractal structure of the Nikkei225, HangSeng, Shanghai Stock Exchange and Straits Times Index of Singapore. Empirical analysis was performed via non-parametric, semi-parametric long memory tests and also fractal dimension calculations. In order to avoid spurious...

Persistent link: https://www.econbiz.de/10011568388

Volatility persistence in Palestine exchange bulls and bears : an econometric analysis of time series data

Awad, Ibrahim Mohammed; Al-Ewesat, Abdel-Rahman - In: Review of economics & finance 9 (2017) 3, pp. 83-97

Persistent link: https://www.econbiz.de/10011718779

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871

Modeling Latin-American stock markets volatility : varying probabilities and mean reversion in a random level shift model

Rodriguez, Gabriel - In: Review of development finance 6 (2016) 1, pp. 26-45

Persistent link: https://www.econbiz.de/10011588077

Value at risk (VaR) analysis for fat tails and long memory in returns

Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230

Persistent link: https://www.econbiz.de/10011684346

Persistence in the Russian stock market volatility indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018

This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period 2010-2018. The empirical findings are consistent...

Persistent link: https://www.econbiz.de/10011903723