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Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; Khan, … - In: Journal of risk and financial management : JRFM 12 (2019) 2/74, pp. 1-13

distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that …

Persistent link: https://www.econbiz.de/10012022130

Impact of introducing different financial derivative instruments in India on its stock market volatility

Nandy, Suparna; Chattopadhyay, Arup Kumar - In: Paradigm : the journal of Institute of Management Technology 18 (2014) 2, pp. 135-153

Persistent link: https://www.econbiz.de/10011759668

Endogenous volatility in the foreign exchange market

Bargigli, Leonardo; Cifarelli, Giulio - In: Journal of financial econometrics 22 (2024) 4, pp. 773-807

Persistent link: https://www.econbiz.de/10015338752

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive …, estimates from the ARCHLM model provide evidence of heteroscedasticity in most of the sectors’ returns. Overall results from the …

Persistent link: https://www.econbiz.de/10011862130