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Time irreversibility and EGARCH effects in US stock index returns

Chen, Yi-ting; Kuan, Chung-ming - In: Journal of applied econometrics 17 (2002) 5, pp. 565-578

Persistent link: https://www.econbiz.de/10001709316

The volatility model of the ASEAN stock indexes

Singagerda, Faurani Santi; Septarina, Linda; Sanusi, Anuar - In: Investment management and financial innovations 16 (2019) 1, pp. 226-238

Persistent link: https://www.econbiz.de/10012056146

Are stock returns long term dependent? : Some empirical evidence

Jacobsen, Ben - In: Journal of international financial markets, … 5 (1995) 2/3, pp. 37-52

Persistent link: https://www.econbiz.de/10001507986

Intra-Day Realized Volatility for European and USA Stock Indices

Degiannakis, Stavros Antonios - 2019

The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a … within USA (or Europe) is much higher than the correlation of volatilities across USA and Europe. Moreover, we provide …

Persistent link: https://www.econbiz.de/10012897936

Testing the long-memory features in return and volatility of NSE index

Ahamed, Naseem; Kalita, Mamoni; Tiwari, Aviral Kumar - In: Theoretical economics letters 5 (2015) 3, pp. 431-440

Persistent link: https://www.econbiz.de/10011396558

Forecasting daily variations of stock index returns with a multifractal model of realized volatility

Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - In: Journal of forecasting 33 (2014) 7, pp. 532-541

Persistent link: https://www.econbiz.de/10011282864

Asymmetry with respect to the memory in stock market volatilities

Lönnbark, Carl - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1409-1419

Persistent link: https://www.econbiz.de/10011481716

Tail estimation and conditional modeling of heteroscedastic time-series

Paolella, Marc S. - 1999 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001388258

Empirical investigation of select NSE sector specific indices to ascertain seasonality & asymmetries in their return & volatility

Shahani, Rakesh; Sharma, Ananya - In: Business analyst : a refereed journal of Shri Ram … 41 (2020) 1, pp. 55-80

Persistent link: https://www.econbiz.de/10013177289

Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective

Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of empirical finance 36 (2016), pp. 86-99

Persistent link: https://www.econbiz.de/10011662757

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