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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
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Long memory property and structural breaks in volatility : evidence from Turkey and Brazil
Günay, Samet - In: International journal of economics and finance 6 (2014) 12, pp. 119-134
Persistent link: https://www.econbiz.de/10010461485
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An empirical investigation on stock market anomalies : the evidence from Colombo stock exchange in Sri Lanka
Deyshappriya, N. P. Ravindra - In: International journal of economics and finance 6 (2014) 3, pp. 177-187
Persistent link: https://www.econbiz.de/10010350423
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How much bang for the buck? : Mexico and dollarization
Levine, Ross; Carkovic, Maria Vicenta - In: Journal of money, credit and banking : JMCB 33 (2001) 2,2, pp. 339-363
Persistent link: https://www.econbiz.de/10001580602
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The Black-Scholes currency option pricing model : evidence for unbiasedness from three currencies against the US dollar
Azar, Samih Antoine; Tortian, Annie - In: International journal of economics and finance 5 (2013) 8, pp. 54-64
Persistent link: https://www.econbiz.de/10009787194
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Testing for non-correlation between price and volatility jumps
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579
Persistent link: https://www.econbiz.de/10011499761