Equity markets volatility clustering : a multiscale analysis of intraday and overnight returns
Xiaojun Zhao, Na Zhang, Yali Zhang, Chao Xu, Pengjian Shang
| Year of publication: |
2024
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| Authors: | Zhao, Xiaojun ; Zhang, Na ; Zhang, Yali ; Xu, Chao ; Shang, Pengjian |
| Published in: |
Journal of empirical finance. - [Erscheinungsort nicht ermittelbar] : Elsevier Science, ISSN 0927-5398, ZDB-ID 1496810-1. - Vol. 77.2024, Art.-No. 101487, p. 1-21
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| Subject: | Intraday return | Multiscale analysis | Overnight return | Volatility clustering | Volatilität | Volatility | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2024.101487 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014578531