FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2157826677> ?p ?o ?g. }

• W2157826677 endingPage "206" @default.
• W2157826677 startingPage "193" @default.
• W2157826677 abstract "This work provides empirical support for the fractional cointegration relationship between daily high and low stock prices, allowing for the non-stationary volatility of stock market returns. The recently formalized fractionally cointegrated vector autoregressive (VAR) model is employed to explain both the cointegration dynamics between daily high and low stock prices and the long memory of their linear combination, i.e., the range. Daily high and low stock prices are of particular interest because they provide valuable information about range-based volatility, which is considered a highly efficient and robust estimator of volatility. We provide a comparison of the Czech PX index with other world market indices: the German Deutscher Aktienindex (DAX), the U.K. Financial Times Stock Exchange (FTSE) 100, the U.S. Standard and Poor's (S&P) 500 and the Japanese Nihon Keizai Shimbun (NIKKEI) 225 during the 2003–2012 period, that is, before and during the financial crisis. We find that the ranges of all of the indices display long memory and are mostly in the non-stationary region, supporting the recent evidence that volatility might not be a stationary process. No common pattern is detected among all of the studied indices, and different behaviors are also observed in the pre-crisis and post-crisis periods. We conclude that the fractionally cointegrated VAR approach allowing for long memory is an interesting alternative for modelling range-based volatility." @default.
• W2157826677 created "2016-06-24" @default.
• W2157826677 creator A5000770744 @default.
• W2157826677 creator A5031139981 @default.
• W2157826677 date "2015-02-01" @default.
• W2157826677 modified "2023-10-02" @default.
• W2157826677 title "An empirical model of fractionally cointegrated daily high and low stock market prices" @default.
• W2157826677 cites W1586907687 @default.
• W2157826677 cites W1588163064 @default.
• W2157826677 cites W1896992559 @default.
• W2157826677 cites W1939741619 @default.
• W2157826677 cites W1969091622 @default.
• W2157826677 cites W1970694313 @default.
• W2157826677 cites W1973694910 @default.
• W2157826677 cites W1974847502 @default.
• W2157826677 cites W2004917856 @default.
• W2157826677 cites W2005424182 @default.
• W2157826677 cites W2011586511 @default.
• W2157826677 cites W2012822803 @default.
• W2157826677 cites W2023625364 @default.
• W2157826677 cites W2034707435 @default.
• W2157826677 cites W2042147672 @default.
• W2157826677 cites W2055781590 @default.
• W2157826677 cites W2068138154 @default.
• W2157826677 cites W2116807840 @default.
• W2157826677 cites W2124357853 @default.
• W2157826677 cites W2155187653 @default.
• W2157826677 cites W2170353114 @default.
• W2157826677 cites W3121365814 @default.
• W2157826677 cites W3121889470 @default.
• W2157826677 cites W3122448887 @default.
• W2157826677 cites W3123103961 @default.
• W2157826677 cites W3123551008 @default.
• W2157826677 cites W3124009593 @default.
• W2157826677 cites W3124577930 @default.
• W2157826677 cites W3125666236 @default.
• W2157826677 doi "https://doi.org/10.1016/j.econmod.2014.11.024" @default.
• W2157826677 hasPublicationYear "2015" @default.
• W2157826677 type Work @default.
• W2157826677 sameAs 2157826677 @default.
• W2157826677 citedByCount "27" @default.
• W2157826677 countsByYear W21578266772015 @default.
• W2157826677 countsByYear W21578266772016 @default.
• W2157826677 countsByYear W21578266772018 @default.
• W2157826677 countsByYear W21578266772019 @default.
• W2157826677 countsByYear W21578266772020 @default.
• W2157826677 countsByYear W21578266772021 @default.
• W2157826677 countsByYear W21578266772022 @default.
• W2157826677 countsByYear W21578266772023 @default.
• W2157826677 crossrefType "journal-article" @default.
• W2157826677 hasAuthorship W2157826677A5000770744 @default.
• W2157826677 hasAuthorship W2157826677A5031139981 @default.
• W2157826677 hasConcept C105795698 @default.
• W2157826677 hasConcept C106159729 @default.
• W2157826677 hasConcept C127413603 @default.
• W2157826677 hasConcept C1297061 @default.
• W2157826677 hasConcept C139719470 @default.
• W2157826677 hasConcept C145162277 @default.
• W2157826677 hasConcept C149782125 @default.
• W2157826677 hasConcept C151730666 @default.
• W2157826677 hasConcept C159877910 @default.
• W2157826677 hasConcept C162324750 @default.
• W2157826677 hasConcept C185429906 @default.
• W2157826677 hasConcept C204036174 @default.
• W2157826677 hasConcept C2778300220 @default.
• W2157826677 hasConcept C2780299701 @default.
• W2157826677 hasConcept C2780762169 @default.
• W2157826677 hasConcept C2986394398 @default.
• W2157826677 hasConcept C33923547 @default.
• W2157826677 hasConcept C60092789 @default.
• W2157826677 hasConcept C78519656 @default.
• W2157826677 hasConcept C86803240 @default.
• W2157826677 hasConcept C88389905 @default.
• W2157826677 hasConcept C91602232 @default.
• W2157826677 hasConceptScore W2157826677C105795698 @default.
• W2157826677 hasConceptScore W2157826677C106159729 @default.
• W2157826677 hasConceptScore W2157826677C127413603 @default.
• W2157826677 hasConceptScore W2157826677C1297061 @default.
• W2157826677 hasConceptScore W2157826677C139719470 @default.
• W2157826677 hasConceptScore W2157826677C145162277 @default.
• W2157826677 hasConceptScore W2157826677C149782125 @default.
• W2157826677 hasConceptScore W2157826677C151730666 @default.
• W2157826677 hasConceptScore W2157826677C159877910 @default.
• W2157826677 hasConceptScore W2157826677C162324750 @default.
• W2157826677 hasConceptScore W2157826677C185429906 @default.
• W2157826677 hasConceptScore W2157826677C204036174 @default.
• W2157826677 hasConceptScore W2157826677C2778300220 @default.
• W2157826677 hasConceptScore W2157826677C2780299701 @default.
• W2157826677 hasConceptScore W2157826677C2780762169 @default.
• W2157826677 hasConceptScore W2157826677C2986394398 @default.
• W2157826677 hasConceptScore W2157826677C33923547 @default.
• W2157826677 hasConceptScore W2157826677C60092789 @default.
• W2157826677 hasConceptScore W2157826677C78519656 @default.
• W2157826677 hasConceptScore W2157826677C86803240 @default.
• W2157826677 hasConceptScore W2157826677C88389905 @default.
• W2157826677 hasConceptScore W2157826677C91602232 @default.
• W2157826677 hasLocation W21578266771 @default.
• W2157826677 hasOpenAccess W2157826677 @default.

• next