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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
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Long memory behavior in the returns of Pakistan Stock Market : ARFIMA-FIGARCH models
Turkyilmaz, Serpil; Balibey, Mesut - In: International journal of economics and financial issues … 4 (2014) 2, pp. 400-410
Persistent link: https://www.econbiz.de/10010520466
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Risk and return : long-run relations, fractional cointegration, and return predictability
Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - In: Journal of financial economics 108 (2013) 2, pp. 409-424
Persistent link: https://www.econbiz.de/10009749332
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From oil to stock markets
Guesmi, Khaled; Boubaker, Heni; Lai, Van Son - In: Journal of economic integration 31 (2016) 1, pp. 103-133
Persistent link: https://www.econbiz.de/10011451684
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Oil and stock returns : evidence from European industrial sector indices in a time-varying environment
Degiannakisa, Stavros; Filis, George; Floros, Christos - In: Journal of international financial markets, … 26 (2013), pp. 175-191
Persistent link: https://www.econbiz.de/10010234924
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What affects the relationship between oil prices and the U.S. stock market? : a mixed-data sampling copula approach
Gong, Yuting; Bu, Ruijun; Chen, Qiang - In: Journal of financial econometrics 20 (2022) 2, pp. 253-277
Persistent link: https://www.econbiz.de/10013187978
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Essays on financial time series with a focus on high-frequency data
Becker, Janis - 2020
Persistent link: https://www.econbiz.de/10012225306
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Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - In: Journal of banking & finance 93 (2018), pp. 21-32
Persistent link: https://www.econbiz.de/10011964613
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Volatility nexus between Stock Market and macroeconomic variables in Bangladesh : an extended GARCH approach
Hasan, Md. Abu; Zaman, Anita - In: Scientific Annals of Economics and Business 64 (2017) 2, pp. 233-243
Persistent link: https://www.econbiz.de/10011865998
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The asymmetric impact of interest and exchange rate on the stock market index : evidence from MENA region
Moussa, Faten; Delhoumi, Ezzeddine - In: International journal of emerging markets 17 (2022) 10, pp. 2510-2528
Persistent link: https://www.econbiz.de/10014332020