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On the predictability of stock prices: A case for high and low prices. (2013). Santucci de Magistris, Paolo ; Ranaldo, Angelo ; Caporin, Massimiliano.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:37:y:2013:i:12:p:5132-5146.

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  2. A spectral approach to stock market performance. (2023). Escañuela Romana, Ignacio ; Nieves, Clara Escanuela.
    In: Papers.
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  3. Modelling cryptocurrency high–low prices using fractional cointegrating VAR. (2022). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Adewuyi, Adeolu O ; Vo, Xuan Vinh.
    In: International Journal of Finance & Economics.
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  4. Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos.
    In: Finance Research Letters.
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  5. Bond markets integration in the EU: New empirical evidence from the Eastern non-euro member-states. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos.
    In: The North American Journal of Economics and Finance.
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  6. Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos.
    In: Journal of Common Market Studies.
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  7. Modeling fractional cointegration between high and low stock prices in Asian countries. (2021). Sibbertsen, Philipp ; Afzal, Alia.
    In: Empirical Economics.
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  8. Energy commodities and advanced stock markets: A post-crisis approach. (2021). Kiohos, Apostolos ; Stoupos, Nikolaos.
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  10. Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model. (2020). MacIel, Leandro.
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  11. Comparison of Forex Market Forecasting Tools Based on Evolino Ensemble and Technical Analysis Indicators. (2020). Stankeviien, Jelena ; Maknickien, Nijol ; Maknickas, Algirdas.
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  12. Modelling Cryptocurrency High-Low Prices using Fractional Cointegrating VAR. (2020). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Adewuyi, Adeolu O ; Vo, Xuan Vinh.
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  13. The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach. (2020). Iglesias, Jesus ; Golpe, Antonio A ; Vides, Jose Carlos.
    In: International Review of Economics & Finance.
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  14. A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends.. (2020). Golpe, Antonio ; Bravo, Jose Manuel ; Vides, Jose Carlos ; Iglesias, Jesus.
    In: Energy Economics.
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  15. The impact of inflation rate on stock market returns: evidence from Kenya. (2019). Muriu, Peter W ; Ngugi, Rose W ; Otieno, Donald A.
    In: Journal of Economics and Finance.
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  16. Resuscitating the co-fractional model of Granger (1986). (2019). Santucci de Magistris, Paolo ; Carlini, Federico.
    In: Discussion Papers.
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  17. Resuscitating the co-fractional model of Granger (1986). (2019). Santucci de Magistris, Paolo ; Carlini, Federico.
    In: CREATES Research Papers.
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  18. Nonstationary Cointegration In The Fractionally Cointegrated Var Model. (2018). Nielsen, Morten ; Johansen, Soren.
    In: Working Paper.
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  19. High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach. (2018). YAYA, OLAOLUWA ; Gil-Alana, Luis A.
    In: MPRA Paper.
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  20. Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren.
    In: CREATES Research Papers.
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  21. Price convergence within and between the Italian electricity day-ahead and dispatching services markets. (2017). Santucci de Magistris, Paolo ; Fontini, Fulvio ; Caporin, Massimiliano.
    In: Marco Fanno Working Papers.
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  22. A literature review of technical analysis on stock markets. (2017). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Lima, Jessica ; Farias, Rodolfo Toribio .
    In: The Quarterly Review of Economics and Finance.
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  23. Option pricing for Informed Traders. (2017). Fabozzi, Frank ; Rachev, Svetlozar T ; Kim, Yong Shin ; Stoyanov, Stoyan V.
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  24. MA trading rules, herding behaviors, and stock market overreaction. (2015). Ni, Yensen ; Huang, Paoyu ; Liao, Yi-Ching .
    In: International Review of Economics & Finance.
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  25. An empirical model of fractionally cointegrated daily high and low stock market prices. (2015). Baruník, Jozef ; Barunik, Jozef ; Dvoakova, Sylvie .
    In: Economic Modelling.
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    RePEc:nbr:nberwo:9664.

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  37. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2003). Diebold, Francis ; Christoffersen, Peter.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10009.

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  38. A Multiple Indicators Model For Volatility Using Intra-Daily Data.. (2003). Gallo, Giampiero ; Engle, Robert.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2003_07.

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  39. Transmission of information across international equity markets. (2003). Wongswan, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:759.

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  40. There is a Risk-Return Tradeoff After All. (2003). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-26.

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  41. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

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  42. On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach. (2002). Brandt, Michael W. ; Kang, Qiang .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9056.

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  43. Estimation methods for stochastic volatility models: a survey. (2002). Ruiz, Esther ; Broto, Carmen.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws025414.

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  44. The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse. (2002). Hau, Harald.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3651.

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  45. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-93.

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  46. ARMA Representation of Two-Factor Models. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-92.

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  47. Analytic Evaluation of Volatility Forecasts. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-90.

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  48. Alternative Models for Stock Price Dynamics. (2002). Tauchen, George ; Ghysels, Eric ; Gallant, A. ; Chernov, Mikhail.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-58.

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  49. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis ; Christoffersen, Peter.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-02.

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  50. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (). Diebold, Francis ; April, ; Brandt, Michael W..
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:03-15.

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