Stavroula Yfanti

Loughborough University

Ashby Road

Nottingham NG1 4BU

Great Britain

  • Loughborough University

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange

CESifo Working Paper No. 7984
Number of pages: 40 Posted: 20 Dec 2019
Guglielmo Maria Caporale, Menelaos Karanasos, Stavroula Yfanti and Aris Kartsaklas
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance, Loughborough University and Brunel University London
Downloads 133 (367,145)

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financial crisis, foreign investors, individual investors, institutional investors, long memory, range-based volatility, structural change, trading volume

2.

Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility

CESifo Working Paper No. 8000
Number of pages: 51 Posted: 12 Jan 2020
Guglielmo Maria Caporale, Menelaos Karanasos and Stavroula Yfanti
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Loughborough University
Downloads 75 (539,899)

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asymmetries, economic policy uncertainty, HEAVY model, high-frequency data, macro-financial linkages, power transformations, realized variance, risk management