Search Results - subject:"Intraday Volatility"

Intraday volatility and the implementation of a closing call auction at Borsa Istanbul

Inci, Ahmet Can; Ozenbas, Deniz - In: Emerging markets review 33 (2017), pp. 79-89

Persistent link: https://www.econbiz.de/10011803326

The Impact of Short Selling on Intraday Volatility: Evidence from the Istanbul Stock Exchange

Çankaya, Serkan; Eken, Hasan; M.; Ulusoy, Veysel - Volkswirtschaftliche Fakultät, … - 2011

This paper examines the interrelation between short selling and volatility as differing from previous research in that it focuses on intraday activities rather than the daily price movements. We demonstrate that the effects of short selling activity changes during the two sessions of the day and...

Persistent link: https://www.econbiz.de/10011107632

The Behavior of Istanbul Stock Exchange Market: An Intraday Volatility/Return Analysis Approach.

Çankaya, Serkan; Ulusoy, Veysel; Eken, Hasan; M. - Volkswirtschaftliche Fakultät, … - 2011

This study investigates intraday effects in the Istanbul Stock Exchange (ISE) during the latest period of financial turmoil which began in August 2007 and extended to February 2010. We tested for the possible existence of intraday anomalies using both return and volatility equations, empirically...

Persistent link: https://www.econbiz.de/10011112547

The UHF-GARCH-type model in the analysis of intraday volatility and price durations : the Bayesian approach

Huptas, Roman - In: Central European journal of economic modelling and … 8 (2016) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011634876

Long memory and periodicity in intraday volatility

Rossi, Eduardo; Fantazzini, Dean - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 922-961

Persistent link: https://www.econbiz.de/10011417840

Order imbalance and selling aggression under a shorting ban : evidence from the UK

Sifat, Imtiaz Mohammad; Mohamad, Azhar - In: International review of financial analysis 42 (2015), pp. 368-379

Persistent link: https://www.econbiz.de/10011573532

Intraday volatility and volume in China's stock index and index futures markets

Nishimura, Yusaku; Sun, Bianxia - In: Asia-Pacific journal of financial studies 44 (2015) 6, pp. 932-955

Persistent link: https://www.econbiz.de/10011471124

Forecasting intraday volatility and VaR using multiplicative component GARCH model

Diao, Xundi; Tong, Bin - In: Applied economics letters 22 (2015) 16/18, pp. 1457-1464

Persistent link: https://www.econbiz.de/10011380317

Applications of constrained non-parametric smoothing methods in computing financial risk

Wong, Chung To - 2008

measures. We consider estimation of Value-at-Risk, of intraday volatility for market risk, and of recovery rate densities for … intraday volatility patterns of standard indices and market-traded assets have been well documented in the literature. They …-shaped volatility pattern reported in the Hang Seng Index (HSI). We aim to capture this intraday volatility pattern using a non …

Persistent link: https://www.econbiz.de/10009437890

Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation

Tse, Yiu-Kuen; Dong, Yingjie - In: Journal of Empirical Finance 28 (2014) C, pp. 352-361

adjustments on the estimation of intraday volatility using the Autoregressive Conditional Duration-Integrated Conditional Variance … adjustment. However, intraday volatility is found to have a weaker U-shaped volatility smile and a biased trough if intraday … same time stamp) results in deeper intraday volatility smile. …

Persistent link: https://www.econbiz.de/10010939536