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Forecasting daily variations of stock index returns with a multifractal model of realized volatility

Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - In: Journal of forecasting 33 (2014) 7, pp. 532-541

Persistent link: https://www.econbiz.de/10011282864

The memory of stock return volatility : asset pricing implications

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - 2017

1.71% per annum. Consistent with theory, we find that the volatility of stocks with longer memory is more predictable …This paper examines long memory volatility in the cross-section of stock returns. We show that long memory volatility … capitalization, book-to-market ratio, prior performance and price jumps. Long memory volatility is negatively priced in the cross …

Persistent link: https://www.econbiz.de/10011750708

Fast fractional differencing in modeling long memory of conditional variance for high-frequency data

Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279

Persistent link: https://www.econbiz.de/10011808179

Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates

Chkili, Walid; Aloui, Chaker; Nguyen, Duc Khuong - In: Journal of international financial markets, … 22 (2012) 4, pp. 738-757

Persistent link: https://www.econbiz.de/10009582536

The memory of stock return volatility : asset pricing implications

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - In: Journal of financial markets 47 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012631778

Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities

Sattarhoff, Cristina; Lux, Thomas - In: International journal of forecasting 39 (2023) 4, pp. 1678-1697

Persistent link: https://www.econbiz.de/10014465344

Modeling volatility in the Gambian exchange rates : an ARMA-GARCH approach

Marreh, Sambujang; Olubusoye, Olusanya E.; Kihoro, John M. - In: International journal of economics and finance 6 (2014) 10, pp. 118-128

Persistent link: https://www.econbiz.de/10010422149

Forecasting trading volume in the Chinese stock market based on the dynamic VWAP

Ye, Xunyu; Yan, Rui; Li, Handong - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 2, pp. 125-144

Persistent link: https://www.econbiz.de/10010347331

Long memory in returns and volatility : evidence from foreign exchange market of Asian countries

Vats, Alpana - In: The international journal of applied economics and finance 5 (2011) 4, pp. 245-256

Persistent link: https://www.econbiz.de/10009512952

Impact of the foreign institutional investments on stock market : evidence from India

Garg, Ashish; Bodla, Bhag Singh - In: Indian economic review : biannual journal of the Delhi … 46 (2011) 2, pp. 303-322

Persistent link: https://www.econbiz.de/10009554620