SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Asymmetry of information flow between volatilities across time scales
14 references·16 citing·34 second hop
Asymmetry of information flow between volatilities across time scales (2010)Asymmetry of information flow between vol…Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Predicting volatility: gettin…Multifractality in Asset Returns: Theory and Evidence (2002)Multifractality in Asset Retu…An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)An Introduction to Wavelets a…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Differentiating intraday seasonalities through wavelet multi-scaling (2001)Differentiating intraday seas…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…Measuring the market impact of hedge funds (2000)Measuring the market impact o…Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Volatilities of different tim…The variation of certain speculative prices (1997)The variation of certain spec…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models (1971)When Can Price be Arbitraged …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…The role of renewable and nuclear energy R&D expenditures and income on environmental quality in Germany: Scrutinizing the EKC and LCC hypotheses with smooth structural changes (2023)The role of renewable and nuc…The role of disaggregated renewable energy consumption on income and load capacity factor: A novel inclusive sustainable growth approach (2023)The role of disaggregated ren…Environmental reverberations of geopolitical risk and economic policy uncertainty resulting from the Russia-Ukraine conflict: A wavelet based approach for sectoral CO2 emissions (2023)Environmental reverberations …Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain (2022)Nexus between oil shocks and …Does financial development promote renewable energy consumption in the USA? Evidence from the Fourier-wavelet quantile causality test (2022)Does financial development pr…Asymmetric and time-frequency spillovers among commodities using high-frequency data (2020)Asymmetric and time-frequency…Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets (2019)Total, Asymmetric and Frequen…Dynamic frequency connectedness between oil and natural gas volatilities (2019)Dynamic frequency connectedne…Investment horizon heterogeneity and wavelet: Overview and further research directions (2015)Investment horizon heterogene…Gold, Oil, and Stocks: Dynamic Correlations (2015)Gold, Oil, and Stocks: Dynami…Generalized optimal wavelet decomposing algorithm for big financial data (2015)Generalized optimal wavelet d…High Frequency Quoting: Short-Term Volatility in Bids and Offers (2013)High Frequency Quoting: Short…Bull or bear markets: A wavelet dynamic correlation perspective (2013)Bull or bear markets: A wavel…A Neuro‐wavelet Model for the Short‐Term Forecasting of High‐Frequency Time Series of Stock Returns (2013)A Neuro‐wavelet Model for the…Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach (2012)Modeling nonlinear Granger ca…On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis (2005)On the relationship between c…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)A long memory property of stock market returns and a new model (1993)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Realized Volatility: A Review (2008)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Parametric and Nonparametric Volatility Measurement (2010)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)International comovement of stock market returns: A wavelet analysis (2009)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized kernels in practice: trades and quotes (2009)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics1,072 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 2005Predicting volatility: getting the most out of return data sampled at different frequencies813 cited
  • 1997Volatilities of different time resolutions — Analyzing the dynamics of market components745 cited
  • 1971When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models482 cited
  • 2002Multifractality in Asset Returns: Theory and Evidence384 cited
  • 2001Differentiating intraday seasonalities through wavelet multi-scaling175 cited
  • 2000Measuring the market impact of hedge funds140 cited

Cited by

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2023The role of renewable and nuclear energy R&D expenditures and income on environmental quality in Germany: Scrutinizing the EKC and LCC hypotheses with smooth structural changes242 cited
  • 2012Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach212 cited
  • 2015Gold, Oil, and Stocks: Dynamic Correlations139 cited
  • 2013High Frequency Quoting: Short-Term Volatility in Bids and Offers135 cited
  • 2023The role of disaggregated renewable energy consumption on income and load capacity factor: A novel inclusive sustainable growth approach114 cited
  • 2019Dynamic frequency connectedness between oil and natural gas volatilities111 cited
  • 2022Does financial development promote renewable energy consumption in the USA? Evidence from the Fourier-wavelet quantile causality test97 cited
  • 2023Environmental reverberations of geopolitical risk and economic policy uncertainty resulting from the Russia-Ukraine conflict: A wavelet based approach for sectoral CO2 emissions90 cited
  • 2015Investment horizon heterogeneity and wavelet: Overview and further research directions84 cited
  • 2005On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis80 cited
  • 2020Asymmetric and time-frequency spillovers among commodities using high-frequency data76 cited
  • 2022Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain71 cited
  • 2013Bull or bear markets: A wavelet dynamic correlation perspective70 cited
  • 2015Generalized optimal wavelet decomposing algorithm for big financial data69 cited
  • 2019Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets62 cited
  • 2013A Neuro‐wavelet Model for the Short‐Term Forecasting of High‐Frequency Time Series of Stock Returns57 cited