Showing 1 - 10 of 17
Persistent link: https://www.econbiz.de/10001982952
This paper investigates the sensitivity of asset and portfolio price volatility with respect to the minimum available trading interval that the price is quoted. The objective of the study is to find the theoretical impact of high frequency trading on asset and portfolio volatilities, using a...
Persistent link: https://www.econbiz.de/10010883507
Persistent link: https://www.econbiz.de/10003233831
Persistent link: https://www.econbiz.de/10012815962
This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...
Persistent link: https://www.econbiz.de/10014281494
Persistent link: https://www.econbiz.de/10001532199
Persistent link: https://www.econbiz.de/10000770147
Persistent link: https://www.econbiz.de/10000925251
Persistent link: https://www.econbiz.de/10000976092
Persistent link: https://www.econbiz.de/10001294228