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The informative role of trading volume in an expanding spot and futures market

Bhaumik, Sumon Kumar; Karanasos, Menelaos; Kartsaklas, A. - In: Journal of multinational financial management 35 (2016), pp. 24-40

Persistent link: https://www.econbiz.de/10011719954

Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

Persistent link: https://www.econbiz.de/10012138660

Facts or fates of investors' losses during crises? : evidence from REIT-stock volatility and tail dependence structures

Huang, MeiChi; Wu, Chih-Chiang; Liu, Shih-Min; Wu, Chang-Che - In: International review of economics & finance : IREF 42 (2016), pp. 54-71

Persistent link: https://www.econbiz.de/10011625055

Range-based and GARCH volatility estimation : evidence from the French asset market

Benlagha, Noureddine; Chargui, Sana - In: Global finance journal 32 (2017), pp. 149-165

Persistent link: https://www.econbiz.de/10011802868

Range-based volatility forecasting : a multiplicative component conditional autoregressive range model

Xie, Haibin - In: Journal of risk 22 (2019/2020) 5, pp. 43-65

Persistent link: https://www.econbiz.de/10012421687

A noise-robust estimator of volatility based on interquantile ranges

Yeh, Jin-huei; Wang, Jying-Nan; Kuan, Chung-ming - In: Review of quantitative finance and accounting 43 (2014) 4, pp. 751-779

Persistent link: https://www.econbiz.de/10010490993

Derivatives trading for insurers

Xue, Xiaole; Wei, Pengyu; Weng, Chengguo - In: Insurance / Mathematics & economics 84 (2019), pp. 40-53

Persistent link: https://www.econbiz.de/10011990431

Modeling and forecasting the volatility of gas futures prices

Aiube, Fernando Antônio Lucena; Samanez, Carlos P.; … - In: Revista Brasileira de Finanças : RBFin 15 (2017) 4, pp. 511-535

Persistent link: https://www.econbiz.de/10012000207

Long-memory in asset returns and volatility : evidence from West Africa

Gyamfi, Emmanuel Numapau; Kyei, Kwabena A.; Gill, Ryan - In: Investment management and financial innovations 13 (2016) 2, pp. 24-28

Persistent link: https://www.econbiz.de/10011647548

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

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