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Changing-regime volatility: A...
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151
Long memory or regime switching in volatility? : evidence from high-frequency returns on the U.S. stock indices
Gao, Guangyuan
;
Ho, Kin-Yip
;
Shi, Yanlin
- In:
Pacific-Basin finance journal
61
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012494892
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152
Why cryptocurrency markets are inefficient : the impact of liquidity and volatility
Al-Yahyaee, Khamis Hamed
;
Mensi, Walid
;
Ko, Hee-Un
; …
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012654953
Saved in:
153
Modelling loans to non-financial corporations within the Eurozone : a long-memory approach
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
-
2020
gross investment as determinants of loans to NFCs. The
forecasting
accuracy of the FCVAR was also assessed by comparing it …
Persistent link: https://www.econbiz.de/10012310523
Saved in:
154
The informative role of trading volume in an expanding spot and futures market
Bhaumik, Sumon Kumar
;
Karanasos, Menelaos
;
Kartsaklas, A.
- In:
Journal of multinational financial management
35
(
2016
),
pp. 24-40
Persistent link: https://www.econbiz.de/10011719954
Saved in:
155
Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
Jensen, Mark J.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 455-475
Persistent link: https://www.econbiz.de/10011649139
Saved in:
156
Realized range volatility
forecasting
: dynamic features and predictive variables
Caporin, Massimiliano
;
Velo, Gabriel G.
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 98-112
Persistent link: https://www.econbiz.de/10011573562
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157
Delta-hedging in fractional volatility models
Zhao, Qi
;
Chronopoulou, Alexandra
- In:
Annals of finance
19
(
2023
)
1
,
pp. 119-140
Persistent link: https://www.econbiz.de/10014253877
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158
Tests and confidence intervals for the location parameter in orthogonal FEXP models
Beran, Jan
-
2000
Persistent link: https://www.econbiz.de/10013436245
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159
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
-of-sample
forecasting
results demonstrate the prevalence of the Autoregressive Fractionally Integrated Moving Average and Hyperbolic …
Persistent link: https://www.econbiz.de/10013272684
Saved in:
160
Efficiency dynamics across segmented Bitcoin markets : evidence from a decomposition strategy
Duan, Kun
;
Gao, Yang
;
Mishra, Tapas
;
Satchell, Stephen
- In:
Journal of international financial markets, …
83
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014306399
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