103 citations · 150 across the 6 of their papers we have counts for
Showing 2006Show all
2 papers · 1 filter
cond-mat.stat-mech2006★ 21 cited
On the integrated behaviour of non-stationary volatility in stock markets
Andreia Dionisio, Rui Menezes, Diana A. Mendes
This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (Fran…
physics.soc-ph2006★ 20 cited
Asymmetric Conditional Volatility in International Stock Markets
Nuno B. Ferreira, Rui Menezes, Diana A. Mendes
Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothe…