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Non-linearity in stock index returns: the volatility and serial correlation relationship

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  • Venetis, Ioannis A.
  • Peel, David

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  • Venetis, Ioannis A. & Peel, David, 2005. "Non-linearity in stock index returns: the volatility and serial correlation relationship," Economic Modelling, Elsevier, vol. 22(1), pages 1-19, January.
    • Handle: RePEc:eee:ecmode:v:22:y:2005:i:1:p:1-19
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    Cited by:

    1. Julijana Angelovska, 2013. "Detecting Positive Feedback Trading when Autocorrelation is Positive," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 16(1), pages 93-101, May.
    2. Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, December.
    3. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
    4. Chen, Lin & Han, Qian & Qiao, Zhilin & Stanley, H. Eugene, 2020. "Correlation analysis and systemic risk measurement of regional, financial and global stock indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
    5. Mitrodima, Gelly & Oberoi, Jaideep, 2024. "CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features," LSE Research Online Documents on Economics 120880, London School of Economics and Political Science, LSE Library.

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