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Nonlinear dynamics in real-time equity market indices : evidence from the United Kingdom
Abhyankar, Abhay - In: The economic journal : the journal of the Royal … 105 (1995) 431, pp. 864-880
Persistent link: https://www.econbiz.de/10001184713
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Uncovering nonlinear structure in real-time stock-market indexes : the S&P 500, the DAX, the Nikkei 225, and the FTSE-100
Abhyankar, Abhay - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10001214331
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A stochastic volatility model with Markov switching
So, Mike Ka-pui - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 244-253
Persistent link: https://www.econbiz.de/10001243996
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Modelling asymmetry in stock returns by a threshold autoregressive conditional heteroscedastic model
Li, Wai Keung - In: Journal of the Royal Statistical Society 44 (1995) 3, pp. 333-341
Persistent link: https://www.econbiz.de/10001185761
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Overreaction of index futures in Hong Kong
Fung, Alexander Kwok-Wah; Lam, Kin - In: Journal of empirical finance 11 (2004) 3, pp. 331-351
Persistent link: https://www.econbiz.de/10002050353
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The magnitude effect in the over-and under-correction in international markets
Lam, Kin; Liu, Taisheng; Wong, Wing Keung - In: The international journal of finance 20 (2008) 3, pp. 4833-4862
Persistent link: https://www.econbiz.de/10009130414