scholarly journals Investigating the Drivers of International Comovement in Real Financial Asset Returns

2019 ◽  
Author(s):  
Kate McKinnon
Keyword(s):  
Asset Returns ◽  
Financial Asset ◽  
Financial Asset Returns

Variance Spillover and Skewness in Financial Asset Returns

2005 ◽  
Author(s):  
Bob Korkie ◽  
Harry J. Turtle ◽  
Ranjini Jha
Keyword(s):  
Asset Returns ◽  
Financial Asset ◽  
Financial Asset Returns

scholarly journals Modeling financial asset returns with shot noise processes

1999 ◽  
Vol 29 (10-12) ◽  
pp. 17-21 ◽  
Author(s):  
G. Chobanov
Keyword(s):  
Shot Noise ◽  
Asset Returns ◽  
Financial Asset ◽  
Financial Asset Returns

The Volatility for Pre and Post Global Financial Crisis

2011 ◽  
Vol 2 (2) ◽  
pp. 82-95
Author(s):  
Shih-Yung Wei ◽  
Jack J. W. Yang ◽  
Jen-Tseng Chen ◽  
Wei-Chiang Samuelson Hong
Keyword(s):  
Hong Kong ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Asset Returns ◽  
Financial Asset ◽  
Asymmetric Volatility ◽  
Empirical Results ◽  
Long Run ◽  
Short Run ◽  
Financial Asset Returns

The asymmetric volatility, temporary volatility, and permanent volatility of financial asset returns have attracted much interest in recent years. However, a consensus has not yet been reached on the causes of them for both the stocks and markets. This paper researched asymmetric volatility and short-run and long-run volatility through global financial crisis for eight Asian markets. EGARCH and CGARCH models are employed to deal with the daily return to examine the degree of asymmetric volatility (temporary volatility and permanent volatility). The authors find that after global financial crisis asymmetric volatility is lower (expect Hong Kong), and the long-run effect is more than the short-run effect. The empirical results for the short-run show that, after global financial crisis, there is significant decreasing in China and Taiwan but not in Japan; the others are significantly increasing. For the long-run, there is significant decreasing (except Thailand and Korea).

Fluctuation patterns in high-frequency financial asset returns

2008 ◽  
Vol 82 (6) ◽  
pp. 68005 ◽  
Author(s):  
T. Preis ◽  
W. Paul ◽  
J. J. Schneider
Keyword(s):  
High Frequency ◽  
Asset Returns ◽  
Financial Asset ◽  
Financial Asset Returns

Visibility of the compass rose in financial asset returns: A quantitative study

2002 ◽  
Vol 26 (6) ◽  
pp. 1099-1111 ◽  
Author(s):  
Huaiqing Wang ◽  
Chen Wang
Keyword(s):  
Quantitative Study ◽  
Asset Returns ◽  
Financial Asset ◽  
Financial Asset Returns

scholarly journals Hierarchical Markov normal mixture models with applications to financial asset returns

2010 ◽  
Vol 26 (1) ◽  
pp. 1-29 ◽  
Author(s):  
John Geweke ◽  
Gianni Amisano
Keyword(s):  
Mixture Models ◽  
Asset Returns ◽  
Financial Asset ◽  
Normal Mixture ◽  
Normal Mixture Models ◽  
Financial Asset Returns
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