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Correlation dynamics between international stock markets using synchronous data
Martens, Martin; Poon, Ser-Huang - 1999
Persistent link: https://www.econbiz.de/10001472393
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Returns synchronization and daily correlation dynamics between international stock markets
Martens, Martin; Poon, Ser-Huang - In: Journal of banking & finance 25 (2001) 10, pp. 1805-1827
Persistent link: https://www.econbiz.de/10001608846
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Returns synchronization and daily correlation dynamics between international stock markets
Martens, Martin; Poon, Ser-Huang - In: Journal of Banking & Finance 25 (2001) 10, pp. 1805-1827
Persistent link: https://www.econbiz.de/10005213628
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Returns Synchronization and Daily Correlation Dynamics between International Stock Markets
Martens, Martin - 1999
The use of close-to-close returns underestimates returns correlation because international stock markets have different trading hours. With the availability of 16:00 (London time) stock market series, we find dynamics of daily correlation and daily covariance, estimated using two...
Persistent link: https://www.econbiz.de/10012743732
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Persistence and mean reversion in UK stock returns
Poon, Ser-Huang - In: European financial management : the journal of the … 2 (1996) 2, pp. 169-196
Persistent link: https://www.econbiz.de/10001205668
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[Rezension von: Smith, Anthony D., International financial markets]
Poon, Ser-Huang - In: The economic journal : the journal of the Royal … 104 (1994) 425, pp. 967-969
Persistent link: https://www.econbiz.de/10001346452
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A practical guide to forecasting : financial markets volatility
Poon, Ser-Huang - 2005
Persistent link: https://www.econbiz.de/10013489917
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Forecasting daily exchange rate volatility using intraday returns
Martens, Martin - In: Journal of international money and finance 20 (2001) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10001546106
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Price discovery in high and low volatility periods : open outcry versus electronic trading
Martens, Martin - In: Journal of international financial markets, … 8 (1998) 3/4, pp. 243-260
Persistent link: https://www.econbiz.de/10001445743
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Tranching and rating
Brennan, Michael J.; Hein, Julia; Poon, Ser-Huang - In: European financial management : the journal of the … 15 (2009) 5, pp. 891-922
Persistent link: https://www.econbiz.de/10003909944