Heterogenous market hypothesis evaluation using multipower variation volatility-Reference-Cited by-同舟云学术

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Heterogenous market hypothesis evaluation using multipower variation volatility

Published:2016-08-19 Issue:8 Volume:46 Page:6574-6587
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Chin Wen Cheong¹,Lee Min Cherng²,Tan Pei Pei³

Affiliation:

1. Faculty of Management, Multimedia University, Selangor, Malaysia

2. Department of Mathematical and Actuarial Science, Universiti Tunku Abdul Rahman, Malaysia

3. Faculty of Economics and Administration, University of Malaya Malaysia, Kuala Lumpur, Malaysia

Funder

financial support for the MOHE under the research

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2016.1208234

Reference41 articles.

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Information flow between BRVM and ESG stock returns: A frequency-dependent analysis;Research in Globalization;2024-06

2. S&P500 volatility analysis using high-frequency multipower variation volatility proxies;Empirical Economics;2017-12-18

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