Nothing Special   »   [go: up one dir, main page]

create a website
Fundamentalists heterogeneity and the role of the sentiment indicator. (2020). Campisi, Giovanni ; Muzzioli, Silvia.
In: Department of Economics.
RePEc:mod:depeco:0167.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 48

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Badshah, I. U. (2013). Quantile regression analysis of the asymmetric return-volatility relation. Journal of Futures Markets, 33(3), 235–265.

  2. Baker, M. and Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. The Journal of Finance, 61(4), 1645–1680.

  3. Baker, M., Wurgler, J., and Yuan, Y. (2012). Global, local, and contagious investor sentiment. Journal of Financial Economics, 104(2), 272–287.

  4. Barberis, N., Shleifer, A., and Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307–343.

  5. Bekaert, G. and Wu, G. (2000). Asymmetric volatility and risk in equity markets. The Review of Financial Studies, 13(1), 1–42.

  6. Bekiros, S., Jlassi, M., Naoui, K., and Uddin, G. S. (2017). The asymmetric relationship between returns and implied volatility: Evidence from global stock markets. Journal of Financial Stability, 30, 156–174.

  7. Black, F. (1976). Studies of stock market volatility changes. 1976 Proceedings of the American Statistical Association Bisiness and Economic Statistics Section.
    Paper not yet in RePEc: Add citation now
  8. Boswijk, H. P., Hommes, C. H., and Manzan, S. (2007). Behavioral heterogeneity in stock prices. Journal of Economic Dynamics and Control, 31(6), 1938–1970.

  9. Brianzoni, S. and Campisi, G. (2020). Dynamical analysis of a financial market with fundamentalists, chartists, and imitators. Chaos, Solitons & Fractals, 130, 109434.

  10. Brock, W. A. and Hommes, C. H. (1997). A rational route to randomness. Econometrica: Journal of the Econometric Society, pages 1059–1095.

  11. Brock, W. A. and Hommes, C. H. (1998). Heterogeneous beliefs and routes to chaos in a simple asset pricing model. Journal of Economic Dynamics and Control, 22(8-9), 1235–1274.

  12. Brown, G. W. and Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1–27.

  13. Campbell, J. Y. and Hentschel, L. (1992). No news is good news: An asymmetric model of changing volatility in stock returns. Journal of Financial Economics, 31(3), 281–318.

  14. Campisi, G. and Muzzioli, S. (2020). Investor sentiment and trading behavior. DEMB Working Paper series 163, University of Modena and Reggio Emilia, Modena, Italy. ISSN: 2281-440X.

  15. Cavalli, F., Naimzada, A. K., Pecora, N., and Pireddu, M. (2018). Agents’ beliefs and economic regimes polarization in interacting markets. Chaos: An Interdisciplinary Journal of Nonlinear Science, 28(5), 055911.

  16. Chau, F., Deesomsak, R., and Koutmos, D. (2016). Does investor sentiment really matter? International Review of Financial Analysis, 48, 221–232.

  17. Chiarella, C., Dieci, R., and He, X. (2009). Heterogeneity, market mechanisms and asset price dynamics. Handbook of Financial Markets: Dynamics and Evolution, pages 277–344.

  18. Chiarella, C., He, X.-Z., and Wang, D. (2006). Statistical properties of a heterogeneous asset pricing model with time-varying second moment. In The Complex Networks of Economic Interactions, pages 109–123. Springer.

  19. Chiarella, C., He, X.-Z., and Zwinkels, R. C. (2014). Heterogeneous expectations in asset pricing: Empirical evidence from the s&p500. Journal of Economic Behavior & Organization, 105, 1–16.

  20. Christie, A. A. (1982). The stochastic behavior of common stock variances: Value, leverage and interest rate effects. Journal of Financial Economics, 10(4), 407–432.

  21. Colasante, A., Palestrini, A., Russo, A., and Gallegati, M. (2017). Adaptive expectations versus rational expectations: Evidence from the lab. International Journal of Forecasting, 33(4), 988–1006.

  22. Cont, R. (2001). Empirical properties of asset returns: stylized facts and statistical issues. QUANTITATIVE FINANCE, 1, 223–236.

  23. Corredor, P., Ferrer, E., and Santamaria, R. (2013). Investor sentiment effect in stock markets: Stock characteristics or country-specific factors? International Review of Economics & Finance, 27, 572–591.

  24. Day, R. H. and Huang, W. (1990). Bulls, bears and market sheep. Journal of Economic Behavior & Organization, 14(3), 299–329.

  25. De Grauwe, P. and Kaltwasser, P. R. (2012). Animal spirits in the foreign exchange market. Journal of Economic Dynamics and Control, 36(8), 1176–1192.

  26. De Long, J. B., Shleifer, A., Summers, L. H., and Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703–738.

  27. Ding, D. K., Charoenwong, C., and Seetoh, R. (2004). Prospect theory, analyst forecasts, and stock returns. Journal of Multinational Financial Management, 14(4-5), 425–442.

  28. French, K. R., Schwert, G. W., and Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19(1), 3.

  29. Hauser, M. A. (1997). Semiparametric and nonparametric testing for long memory: A monte carlo study. Empirical Economics, 22(2), 247–271.

  30. He, X.-Z. and Li, Y. (2007). Power-law behaviour, heterogeneity, and trend chasing. Journal of Economic Dynamics and Control, 31(10), 3396–3426.

  31. He, X.-Z. and Li, Y. (2015). Testing of a market fraction model and power-law behaviour in the dax 30. Journal of Empirical Finance, 31, 1–17.

  32. He, X.-Z. and Zheng, H. (2016). Trading heterogeneity under information uncertainty. Journal of Economic Behavior & Organization, 130, 64–80.

  33. Hommes, C. (2013). Behavioral rationality and heterogeneous expectations in complex economic systems. Cambridge University Press.

  34. Huang, W., Zheng, H., and Chia, W.-M. (2013). Asymmetric returns, gradual bubbles and sudden crashes. The European Journal of Finance, 19(5), 420–437.

  35. Jawadi, F. and Prat, G. (2012). Arbitrage costs and nonlinear adjustment in the g7 stock markets.

  36. Jawadi, F., Namouri, H., and Ftiti, Z. (2018). An analysis of the effect of investor sentiment in a heterogeneous switching transition model for g7 stock markets. Journal of Economic Dynamics and Control, 91, 469–484.

  37. Lo, Andrew, W. (1991). Long-term memory in stock market prices. Econometrica, 59(5), 1279–1313.

  38. Lux, T. (1995). Herd behaviour, bubbles and crashes. The Economic Journal, 105(431), 881–896.

  39. Lux, T. and Alfarano, S. (2016). Financial power laws: Empirical evidence, models, and mechanisms. Chaos, Solitons & Fractals, 88, 3–18.

  40. Lux, T. and Marchesi, M. (2000). Volatility clustering in financial markets: a microsimulation of interacting agents. International journal of Theoretical and Applied Finance, 3(04), 675–702.

  41. Naimzada, A. K. and Ricchiuti, G. (2009). Dynamic effects of increasing heterogeneity in financial markets. Chaos, Solitons & Fractals, 41(4), 1764–1772.

  42. Tramontana, F., Gardini, L., Dieci, R., and Westerhoff, F. (2009). The emergence of bull and bear dynamics in a nonlinear model of interacting markets. Discrete Dynamics in Nature and Society, 2009.
    Paper not yet in RePEc: Add citation now
  43. Tsai, I.-C. (2017). Diffusion of optimistic and pessimistic investor sentiment: An empirical study of an emerging market. International Review of Economics & Finance, 47, 22–34.

  44. Verma, R. and Soydemir, G. (2009). The impact of individual and institutional investor sentiment on the market price of risk. The Quarterly Review of Economics and Finance, 49(3), 1129–1145.

  45. Whaley, R. E. (2000). The investor fear gauge. The Journal of Portfolio Management, 26(3), 12–17.
    Paper not yet in RePEc: Add citation now
  46. Yang, C. and Yan, W. (2011). Does high sentiment cause negative excess return. International Journal of Digital Content Technology and Its Application, 5(12), 211–217.
    Paper not yet in RePEc: Add citation now
  47. Yang, C. and Zhou, L. (2015). Investor trading behavior, investor sentiment and asset prices. The North American Journal of Economics and Finance, 34, 42–62.

  48. Zhou, G. (2018). Measuring investor sentiment. Annual Review of Financial Economics, 10, 239–259.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis. (2023). Skjold, Christian ; Westgaard, Sjur ; Osmundsen, Petter ; Frydenberg, Stein ; Mohanty, Sunil K.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:60:y:2023:i:2:d:10.1007_s11156-022-01107-2.

    Full description at Econpapers || Download paper

  2. The volatility index and volatility risk premium in China. (2023). Zhang, Jin E ; Gehricke, Sebastian ; Ruan, Xinfeng ; Yue, Tian.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:91:y:2023:i:c:p:40-55.

    Full description at Econpapers || Download paper

  3. The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index. (2023). Apergis, Nicholas ; Malik, Shafaq ; Mustafa, Ghulam.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:89:y:2023:i:c:p:27-35.

    Full description at Econpapers || Download paper

  4. The impact of COVID-19 on the travel and leisure industry returns: Some international evidence. (2022). Chen, Mei-Ping ; Lee, Chien-Chiang.
    In: Tourism Economics.
    RePEc:sae:toueco:v:28:y:2022:i:2:p:451-472.

    Full description at Econpapers || Download paper

  5. Does implied volatility (or fear index) affect Islamic stock returns and conventional stock returns differently? Wavelet-based granger-causality, asymmetric quantile regression and NARDL approaches. (2022). Masih, Abul ; Ariff, Mohamed ; Kawsar, Najmul Haque ; Karim, Muhammad Mahmudul.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:77:y:2022:i:c:s1042443122000233.

    Full description at Econpapers || Download paper

  6. The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market. (2022). Zhang, Gongqiu ; Xu, Yahua ; Bouri, Elie.
    In: Energy Economics.
    RePEc:eee:eneeco:v:109:y:2022:i:c:s014098832200127x.

    Full description at Econpapers || Download paper

  7. Do national cultures matter for tourism development? Some international evidence. (2022). Lee, Chien-Chiang ; Xing, Wenwu ; Chen, Mei-Ping.
    In: Economic Analysis and Policy.
    RePEc:eee:ecanpo:v:74:y:2022:i:c:p:666-686.

    Full description at Econpapers || Download paper

  8. Revisiting the return?volatility relationship of exchange rates: New evidence from offshore RMB. (2022). Wu, Ximing ; Lin, Juan ; Chen, Yue.
    In: Pacific Economic Review.
    RePEc:bla:pacecr:v:27:y:2022:i:3:p:277-294.

    Full description at Econpapers || Download paper

  9. Intermediary capital risk and commodity futures volatility. (2021). Han, Liyan ; Nie, Jing ; Yin, Libo.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:5:p:577-640.

    Full description at Econpapers || Download paper

  10. Re-examining the leverage effect and gold’s safe haven properties with the utilization of the implied volatility of gold: a non-parametric quantile regression approach. (2021). Panagiotou, Dimitrios.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:1:y:2021:i:7:d:10.1007_s43546-021-00092-3.

    Full description at Econpapers || Download paper

  11. Tourism development and happiness: International evidence. (2021). Lee, Chien-Chiang ; Peng, Yi-Ting ; Chen, Mei-Ping.
    In: Tourism Economics.
    RePEc:sae:toueco:v:27:y:2021:i:5:p:1101-1136.

    Full description at Econpapers || Download paper

  12. The Arrival of Information and Price Adjustment Across Extreme Quantiles: Global Evidence. (2021). Tripathi, Abhinava.
    In: IIM Kozhikode Society & Management Review.
    RePEc:sae:iimkoz:v:10:y:2021:i:1:p:7-19.

    Full description at Econpapers || Download paper

  13. Designing volatility indices for Austria, Finland and Spain. (2021). Campisi, Giovanni ; Muzzioli, Silvia.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:35:y:2021:i:3:d:10.1007_s11408-021-00381-9.

    Full description at Econpapers || Download paper

  14. Modelling Stock Returns and Risk Management in the Shipping Industry. (2021). Westgaard, Sjur ; Aadland, Roar ; Mohanty, Sunil K ; Kristensen, Cecilie ; Lillienskiold, Hilde ; Frydenberg, Stein.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:171-:d:533190.

    Full description at Econpapers || Download paper

  15. Information dissemination across global markets during the spread of COVID-19 pandemic. (2021). Pandey, Ashish ; Tripathi, Abhinava.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:74:y:2021:i:c:p:103-115.

    Full description at Econpapers || Download paper

  16. Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears. (2021). Hussain, Syed Jawad ; Mbarki, Imen ; Naeem, Muhammad Abubakr.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:73:y:2021:i:c:p:496-514.

    Full description at Econpapers || Download paper

  17. The effects of investor attention and policy uncertainties on cross-border country exchange-traded fund returns. (2021). Lee, Chien-Chiang ; Chen, Mei-Ping.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:71:y:2021:i:c:p:830-852.

    Full description at Econpapers || Download paper

  18. Crude oil prices and clean energy stock indices: Lagged and asymmetric effects with quantile regression. (2021). Saeed, Tareq ; Bouri, Elie ; Dutta, Anupam ; Dawar, Ishaan.
    In: Renewable Energy.
    RePEc:eee:renene:v:163:y:2021:i:c:p:288-299.

    Full description at Econpapers || Download paper

  19. Implied volatility indices – A review. (2021). Siriopoulos, Costas ; Fassas, Athanasios P.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:79:y:2021:i:c:p:303-329.

    Full description at Econpapers || Download paper

  20. How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin. (2021). , Walid.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001748.

    Full description at Econpapers || Download paper

  21. Asymmetric tail dependence between stock market returns and implied volatility. (2021). Echaust, Krzysztof.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:23:y:2021:i:c:s1703494920300372.

    Full description at Econpapers || Download paper

  22. Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis. (2021). , Walid.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000188.

    Full description at Econpapers || Download paper

  23. A tale of two shocks: The dynamics of international real estate markets. (2020). Bekiros, Stelios ; Jayasekera, Ranadeva ; Ege, Oskar ; Uddin, Gazi Salah ; Dahlstrom, Amanda.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:25:y:2020:i:1:p:3-27.

    Full description at Econpapers || Download paper

  24. Fundamentalists heterogeneity and the role of the sentiment indicator. (2020). Campisi, Giovanni ; Muzzioli, Silvia.
    In: Department of Economics.
    RePEc:mod:depeco:0167.

    Full description at Econpapers || Download paper

  25. Sign and size asymmetry in the stock returns-implied volatility relationship. (2020). Fousekis, Panos.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300098.

    Full description at Econpapers || Download paper

  26. Impact of energy sector volatility on clean energy assets. (2020). Vo, Xuan Vinh ; Saeed, Tareq ; Bouri, Elie ; Dutta, Anupam.
    In: Energy.
    RePEc:eee:energy:v:212:y:2020:i:c:s0360544220317655.

    Full description at Econpapers || Download paper

  27. Happiness sentiments and the prediction of cross-border country exchange-traded fund returns. (2020). Lee, Chien-Chiang ; Chen, Mei-Ping.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301510.

    Full description at Econpapers || Download paper

  28. Do natural disasters and geopolitical risks matter for cross-border country exchange-traded fund returns?. (2020). Lee, Chien-Chiang ; Chen, Mei-Ping.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303183.

    Full description at Econpapers || Download paper

  29. Volatility index and the return–volatility relation: Intraday evidence from Chinese options market. (2019). Yu, Xiaoli ; Li, Jupeng ; Luo, Xingguo.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1348-1359.

    Full description at Econpapers || Download paper

  30. The role of the volatility index in asset pricing: The case of the Indian stock market. (2019). Pati, Pratap Chandra ; Barai, Parama ; Rajib, Prabina.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:74:y:2019:i:c:p:336-346.

    Full description at Econpapers || Download paper

  31. Think again: volatility asymmetry and volatility persistence. (2019). Thomas, Dimpfl ; Dirk, Baur.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:23:y:2019:i:1:p:19:n:4.

    Full description at Econpapers || Download paper

  32. .

    Full description at Econpapers || Download paper

  33. Difference in the intraday return-volume relationships of spots and futures: A quantile regression approach. (2018). Ryu, Doojin ; Lee, Geul.
    In: Economics Discussion Papers.
    RePEc:zbw:ifwedp:201868.

    Full description at Econpapers || Download paper

  34. Uncovering asymmetries in the relationship between fear and the stock market using a hidden co-integration approach. (2018). Economou, Fotini ; Tsouma, Ekaterini ; Panagopoulos, Yannis.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:44:y:2018:i:c:p:459-470.

    Full description at Econpapers || Download paper

  35. Risk perception in financial markets: On the flip side. (2018). naoui, kamel ; Bekiros, Stelios ; Uddin, Gazi Salah ; Jlassi, Mouna.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:57:y:2018:i:c:p:184-206.

    Full description at Econpapers || Download paper

  36. Asymmetric linkages among the fear index and emerging market volatility indices. (2018). Badshah, Ihsan ; Uddin, Gazi Salah ; Lucey, Brian M ; Bekiros, Stelios.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:37:y:2018:i:c:p:17-31.

    Full description at Econpapers || Download paper

  37. Does behavioural theory explain return-implied volatility relationship? Evidence from India. (2017). Chakrabarti, Prasenjit ; McMillan, David ; Kumar, Kiran K.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1355521.

    Full description at Econpapers || Download paper

  38. An examination of the REIT return–implied volatility relation: a frequency domain approach. (2017). Anoruo, Emmanuel.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:41:y:2017:i:3:d:10.1007_s12197-016-9378-2.

    Full description at Econpapers || Download paper

  39. A behavioural explanation to the asymmetric volatility phenomenon: Evidence from market volatility index. (2017). Pati, Pratap Chandra ; Barai, Parama ; Rajib, Prabina.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:35:y:2017:i:c:p:66-81.

    Full description at Econpapers || Download paper

  40. Time-varying return-volatility relation in international stock markets. (2017). Jin, Xiaoye.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:51:y:2017:i:c:p:157-173.

    Full description at Econpapers || Download paper

  41. The asymmetric relationship between returns and implied volatility: Evidence from global stock markets. (2017). Uddin, Gazi ; naoui, kamel ; Bekiros, Stelios ; Jlassi, Mouna.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:30:y:2017:i:c:p:156-174.

    Full description at Econpapers || Download paper

  42. The Relation between Return and Volatility in ETFs Traded in Borsa Istanbul: Is there any Difference between Islamic and Conventional ETFs?. (2016). Hassan, M. Kabir ; Kayhana, Selim ; Bayatb, Tayfur .
    In: Islamic Economic Studies.
    RePEc:ris:isecst:0157.

    Full description at Econpapers || Download paper

  43. Asymmetries of the intraday return-volatility relation. (2016). Tourani-Rad, Alireza ; Frijns, Bart ; Badshah, Ihsan ; Knif, Johan.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:48:y:2016:i:c:p:182-192.

    Full description at Econpapers || Download paper

  44. Return‐Implied Volatility Dynamics of High and Low Yielding Currencies. (2015). Kaurijoki, Miikka ; Aijo, Janne ; Nikkinen, Jussi .
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:35:y:2015:i:11:p:1026-1041.

    Full description at Econpapers || Download paper

  45. Implied volatility transmissions between Thai and selected advanced stock markets. (2015). Sethapramote, Yuthana ; Jiranyakul, Komain ; Thakolsri, Supachok .
    In: MPRA Paper.
    RePEc:pra:mprapa:65901.

    Full description at Econpapers || Download paper

  46. The Return‐Implied Volatility Relation for Commodity ETFs. (2014). Padungsaksawasdi, Chaiyuth ; Daigler, Robert T..
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:34:y:2014:i:3:p:261-281.

    Full description at Econpapers || Download paper

  47. Examining the Return–Volatility Relation for Foreign Exchange: Evidence from the Euro VIX. (2014). Hibbert, Ann Marie ; Daigler, Robert T. ; Pavlova, Ivelina.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:34:y:2014:i:1:p:74-92.

    Full description at Econpapers || Download paper

  48. Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression. (2013). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. ; Thomas, Lyn ; Taylor, James.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130020.

    Full description at Econpapers || Download paper

  49. State-dependent Momentum in International Stock Markets. (2012). Baur, Dirk ; Dimpfl, Thomas.
    In: Working Paper Series.
    RePEc:uts:wpaper:169.

    Full description at Econpapers || Download paper

  50. The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions. (2012). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K ; Thomas, Lyn ; Taylor, James.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:831.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-12 00:50:02 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.