Showing 1 - 10 of 429,016
Persistent link: https://www.econbiz.de/10011865593
Persistent link: https://www.econbiz.de/10003628461
Persistent link: https://www.econbiz.de/10015329806
Persistent link: https://www.econbiz.de/10009317435
Persistent link: https://www.econbiz.de/10010243139
Persistent link: https://www.econbiz.de/10010439591
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …
Persistent link: https://www.econbiz.de/10011335205
Persistent link: https://www.econbiz.de/10011988922
This paper investigates the extreme dependence between the Asia-Pacific stock markets and the international crude oil market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors obtain a more detailed result on the degree and...
Persistent link: https://www.econbiz.de/10011561029
Persistent link: https://www.econbiz.de/10012135603