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Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147
Persistent link: https://www.econbiz.de/10012006763
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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
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Volatility persistence in the Russian stock market
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 32 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012430826
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Structural breaks and double long memory of cryptocurrency prices : a comparative analysis from Bitcoin and Ethereum
Mensi, Walid; Al-Yahyaee, Khamis Hamed; Kang, Sang Hoon - In: Finance research letters 29 (2019), pp. 222-230
Persistent link: https://www.econbiz.de/10012418764
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Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure
Sanusi, Muhammad Surajo; Ahmad, Farooq - In: Finance research letters 18 (2016), pp. 89-99
Persistent link: https://www.econbiz.de/10011656714
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Structural breaks in online investor sentiment : a note on the nonstationarity of financial chatter
Ballinari, Daniele; Behrendt, Simon - In: Finance research letters 35 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012439013
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Structural breaks, macroeconomic fundamentals and cross hedge ratio
Pan, Zhiyuan; Xiao, Dongli; Dong, Qingma; Liu, Li - In: Finance research letters 47 (2022) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10013459139