Asymmetry of Information Flow Between Volatilities Across Time Scales
Year of publication: |
2002-11-01
|
---|---|
Authors: | Gençay, Ramazan ; Whitcher, Brandon ; Selçuk, Faruk |
Institutions: | Institut für Schweizerisches Bankwesen <Zürich> ; National Centre of Competence in Research North South <Bern> |
Subject: | Aktienmarkt | Skalierung |
Extent: | 866304 bytes 37 p. application/pdf |
---|---|
Series: | Working Paper ; No. 45 (2002) |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C1 - Econometric and Statistical Methods: General ; G00 - Financial Economics. General ; G1 - General Financial Markets ; Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification |
Source: | USB Cologne (business full texts) |
-
Scaling, Self-Similarity and Multifractality in FX Markets
Gençay, Ramazan, (2003)
-
Risk-Return Patterns in Stock Markets and Currency Markets : A Study of NSE's Nifty and US Dollar
Sharma, Gagan Deep, (2015)
-
Discrimination in the Stock Market : Board Gender and Stock Performance
Sanford, Anthony, (2019)
- More ...
-
Gençay, Ramazan, (2002)
-
Systematic risk and time scales
Gençay, Ramazan, (2002)
-
Extreme value theory and Value-at-Risk : Relative performance in emerging markets
Gençay, Ramazan, (2002)
- More ...