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Modelling regulatory change V's volume of trading effects in HSIF and HSI volatility

Gannon, Gerard L.; Au-Yeung, Siu Pang - In: Review of Pacific Basin financial markets and policies 11 (2008) 1, pp. 47-59

Persistent link: https://www.econbiz.de/10003679942

Modelling regulatory change V's volume of trade effects in HSIF and HSI volatility : a note

Gannon, Gerard L. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003794141

Structural effects and spillovers in HSIF, HSI and S&P500 volatility

Gannon, Gerard L. (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002035594

Regulatory change, structural breaks and transmission effects in HSIF and HSI volatility

Au-Yeung, Siu Pang (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002035624

Structural effects and spillovers in HSIF, HSI and S&P500 volatility

Gannon, Gerard L.; Au-Yeung, Siu Pang - In: Research in international business and finance 18 (2004) 3, pp. 305-317

Persistent link: https://www.econbiz.de/10003396231

Simultaneous Volatility Transmissions and Spillover Effects

Gannon, Gerard - Deakin University, Faculty of Business and Law, School … - 2004

Simultaneous Volatility models are developed and shown to be separate from Multivariate GARCH estimators. An example is provided that allows for simultaneous and uni-directional volatility and volume of trade effects. These effects are tested using intra-day data from the Australian cash index...

Persistent link: https://www.econbiz.de/10004982345