Long memory or regime switching in volatility? Evidence from high-frequency returns on the U.S. stock indices-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Long memory or regime switching in volatility? Evidence from high-frequency returns on the U.S. stock indices

Published:2020-06 Issue: Volume:61 Page:101059
ISSN:0927-538X
Container-title:Pacific-Basin Finance Journal
language:en
Short-container-title:Pacific-Basin Finance Journal

Author:

Gao Guangyuan,Ho Kin-Yip,Shi Yanlin^ORCID

Funder

National Social Science Fund of China

MOE National Key Research Bases for Humanities and Social Sciences

Australian National University

Macquarie University

Central University of Finance and Economics

Shandong University

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference59 articles.

1. Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with student-t innovations;Ardia;Econ. J.,2009

2. Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach;Baillie;J. Econ. Dyn. Control.,2009

3. Fractionally integrated generalized autoregressive conditional heteroskedasticity;Baillie;J. Economet.,1996

4. Multifractality and value-at-risk forecasting of exchange rates;Batten;Phys. A,2014

5. Multivariate GARCH models: a survey;Bauwens;J. Appl. Econ.,2006

Cited by 9 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. Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market;The North American Journal of Economics and Finance;2024-05

2. Modeling Long Memory and Regime Switching with an MRS-FIEGARCH Model: A Simulation Study;Axioms;2023-04-30

3. Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange Market;Management Dynamics in the Knowledge Economy;2022-12-01

4. How does news sentiment affect the states of Japanese stock return volatility?;International Review of Financial Analysis;2022-11

5. Performance of a Novel Hybrid Model Through Simulation and Historical Financial Data;Sains Malaysiana;2022-07-31

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3