Asymmetry of Information Flow Between Volatilities Across Time Scales
Download full text from publisher
Other versions of this item:
- Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk & Brandon Whitcher, 2010. "Asymmetry of information flow between volatilities across time scales," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 895-915.
- Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk & Brandon Whitcher, 2009. "Asymmetry of Information Flow Between Volatilities Across Time Scales," Working Paper series 27_09, Rimini Centre for Economic Analysis.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Conlon, Thomas & Cotter, John, 2013. "Downside risk and the energy hedger's horizon," Energy Economics, Elsevier, vol. 36(C), pages 371-379.
- repec:eee:phsmap:v:482:y:2017:i:c:p:552-568 is not listed on IDEAS
- Dieter Hendricks & Tim Gebbie & Diane Wilcox, 2015. "Detecting intraday financial market states using temporal clustering," Papers 1508.04900, arXiv.org, revised Feb 2017.
- Kaijian He & Kin Keung Lai & Guocheng Xiang, 2012. "Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach," Energies, MDPI, Open Access Journal, vol. 5(4), pages 1-26, April.
- Jozef Barunik & Lukas Vacha, 2015.
"Realized wavelet-based estimation of integrated variance and jumps in the presence of noise,"
Taylor & Francis Journals, vol. 15(8), pages 1347-1364, August.
- Jozef Barunik & Lukas Vacha, 2012. "Realized wavelet-based estimation of integrated variance and jumps in the presence of noise," Papers 1202.1854, arXiv.org, revised Feb 2013.
- Baruník, Jozef & Vácha, Lukáš, 2014. "Realized wavelet-based estimation of integrated variance and jumps in the presence of noise," FinMaP-Working Papers 16, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Marco Gallegati & Mauro Gallegati & James B. Ramsey & Willi Semmler, 2017. "Long waves in prices: new evidence from wavelet analysis," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 11(1), pages 127-151, January.
- Chakrabarty, Anindya & De, Anupam & Gunasekaran, Angappa & Dubey, Rameshwar, 2015. "Investment horizon heterogeneity and wavelet: Overview and further research directions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 45-61.
- Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016.
"Gold, oil, and stocks: Dynamic correlations,"
International Review of Economics & Finance,
Elsevier, vol. 42(C), pages 186-201.
- Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Gold, Oil, and Stocks," Papers 1308.0210, arXiv.org, revised Mar 2014.
- Jozef BarunÃk & EvÅ¾en Kocenda & LukÃ¡Å¡ VÃ¡cha, 2015. "Gold, Oil, and Stocks: Dynamic Correlations," CESifo Working Paper Series 5333, CESifo Group Munich.
- Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014. "Gold, Oil, and Stocks," FinMaP-Working Papers 14, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Takaki Hayashi & Yuta Koike, 2017. "Multi-scale analysis of lead-lag relationships in high-frequency financial markets," Papers 1708.03992, arXiv.org, revised Feb 2018.
- Bekiros, Stelios D., 2015. "Heuristic learning in intraday trading under uncertainty," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 34-49.
- François Benhmad, 2011. "A wavelet analysis of oil price volatility dynamic," Economics Bulletin, AccessEcon, vol. 31(1), pages 792-806.
- Swastika, Purti & Dewandaru, Ginanjar & Masih, Mansur, 2013. "The Impact of Debt on Economic Growth: A Case Study of Indonesia," MPRA Paper 58837, University Library of Munich, Germany.
- Michis, Antonis A., 2014. "Investing in gold: Individual asset risk in the long run," Finance Research Letters, Elsevier, vol. 11(4), pages 369-374.
- W. D. Chen & H. C. Li, 2016. "Wavelet decomposition of heterogeneous investment horizon," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(4), pages 714-734, October.
- Christian M. Hafner, 2012. "Cross-correlating wavelet coefficients with applications to high-frequency financial time series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(6), pages 1363-1379, December.
- Haiyun Xu, 2016. "Economic policy uncertainty and housing returns in Germany: Evidence from a bootstrap rolling window," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics, vol. 34(2), pages 309-332.
- Sun, Edward W. & Chen, Yi-Ting & Yu, Min-Teh, 2015. "Generalized optimal wavelet decomposing algorithm for big financial data," International Journal of Production Economics, Elsevier, vol. 165(C), pages 194-214.
- Benhmad, François, 2012. "Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach," Economic Modelling, Elsevier, vol. 29(4), pages 1505-1514.
- repec:wsi:ijtafx:v:12:y:2009:i:01:n:s0219024909005130 is not listed on IDEAS
- Gallegati, Marco & Ramsey, James B., 2013. "Bond vs stock market's Q: Testing for stability across frequencies and over time," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 138-150.
More about this item
KeywordsVolatility; High Frequency Finance; Wavelets; Hidden Markov Trees;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecm:nawm04:90. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/essssea.html .
We have no references for this item. You can help adding them by using this form .