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Modelling price movement in trading volume-volatility relations

Pei Pei Tan; Galagedera, Don U. A.; Sze Shi Ting - In: Malaysian journal of economic studies 52 (2015) 2, pp. 135-156

Persistent link: https://www.econbiz.de/10011452838

Wavelet timescales and contitional relationship between higher order systematic co-moments and portfolio returns : evidence in Australian data

Galagedera, Don U. A.; Maharaj, Elizabeth Ann - 2004

Persistent link: https://www.econbiz.de/10002474629

Empirical evidence on the conditional relation between higher-order systematic co-moments and security returns

Galagedera, Don U. A.; Henry, Darren; Silvapulle, Paramsothy - In: Quarterly journal of business and economics : QJBE 42 (2003) 1/2, pp. 121-137

Persistent link: https://www.econbiz.de/10002171538

Relationship between downside risk and return : new evidence through a multiscaling approach

Galagedera, Don U. A.; Maharaj, Elizabeth Ann; Brooks, … - In: Applied financial economics 18 (2008) 18/21, pp. 1623-1633

Persistent link: https://www.econbiz.de/10003800192

Is systematic downside beta risk really priced? : Evidence in emerging market data

Galagedera, Don U. A.; Brooks, Robert - 2005

Persistent link: https://www.econbiz.de/10003048166

Some Analytical and Empirical Results on the Relation between Idiosyncratic Volatility and Expected Stock Return

Galagedera, Don U. A. - 2010

We show analytically that the cross-sectional relation between idiosyncratic volatility estimated as the variance of the residuals in a single factor model and expected stock return may be represented by a truncated parabola that opens to the left and has horizontal axis. This relation is...

Persistent link: https://www.econbiz.de/10013139841