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Detecting contagion with correlation : volatility and timing matter

Dungey, Mardi H.; Yalama, Abdullah - 2010

Persistent link: https://www.econbiz.de/10009384425

Detecting contagion with correlation : volatility and timing matter

Dungey, Mardi H.; Yalama, Abdullah - In: International journal of applied business and economic … 10 (2012) 1, pp. 85-95

Persistent link: https://www.econbiz.de/10009676058

Detecting contagion with correlation : volatility and timing matter

Dungey, Mardi H.; Yalama, Abdullah - 2010

Persistent link: https://www.econbiz.de/10008698087

Detecting contagion with correlation : volatility and timing matter

Dungey, Mardi H.; Yalama, Abdullah - 2009

Persistent link: https://www.econbiz.de/10003882203

Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging market

Yalama, Abdullah; Celik, Sibel - In: Economic Modelling 30 (2013) C, pp. 67-72

We examine whether real or spurious long memory characteristics of volatility are present in stock market data. We empirically distinguish between true and spurious long memory characteristics by analysing different types and measurements of volatility, utilising different sampling frequencies...

Persistent link: https://www.econbiz.de/10010608253