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person:"Zhang, Lu"
~person:"Brooks, Robert"
~person:"Engle, Robert F."
~person:"Zhang, Wei"
~subject:"Time series analysis"
~type_genre:"Article in journal"
~type_genre:"Aufsatz in Zeitschrift"
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Time series analysis
Capital income
96
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96
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41
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41
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31
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31
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Zhang, Lu
Brooks, Robert
Engle, Robert F.
Zhang, Wei
Gupta, Rangan
20
Gil-Alaña, Luis A.
15
Tauchen, George Eugene
10
Caporale, Guglielmo Maria
9
Tiwari, Aviral Kumar
8
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7
Ma, Feng
7
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7
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7
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7
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6
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6
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6
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6
McMillan, David G.
6
Wang, Yudong
6
Asai, Manabu
5
Degiannakis, Stavros
5
Ferreira, Paulo
5
Li, Youwei
5
Lucas, André
5
Nguyen, Duc Khuong
5
Nonejad, Nima
5
Sucarrat, Genaro
5
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5
Ziegelmann, Flávio A.
5
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4
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4
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4
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4
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4
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4
Günay, Samet
4
Huang, Zhuo
4
Koopman, Siem Jan
4
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4
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4
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4
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4
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1
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1
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1
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1
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1
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1
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ECONIS (ZBW)
10
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10
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1
Jump volatility estimates of high frequency data and analysis based on HHT
Chen, Jiangrui
;
Yin, Lianqian
;
Hou, Sizhe
;
Zhang, Wei
; …
- In:
International journal of economics and finance
7
(
2015
)
11
,
pp. 242-249
Persistent link: https://www.econbiz.de/10011401479
Saved in:
2
New evidence on the impact of financial leverage on beta risk : a time-series approach
Faff, Robert W.
;
Brooks, Robert
;
Kee, Ho Yew
- In:
The North American journal of economics and finance : a …
13
(
2002
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10001716383
Saved in:
3
Measuring and testing the impact of news on volatility
Engle, Robert F.
- In:
The journal of finance : the journal of the American …
48
(
1993
)
5
,
pp. 1749-1778
Persistent link: https://www.econbiz.de/10001155967
Saved in:
4
A long memory property of stock market returns and a new model
Ding, Zhuanxin
- In:
Journal of empirical finance
1
(
1993
)
1
,
pp. 83-106
Persistent link: https://www.econbiz.de/10001146683
Saved in:
5
Time-varying volatility and the dynamic behavior of the term structure
Engle, Robert F.
- In:
Journal of money, credit and banking : JMCB
25
(
1993
)
3
,
pp. 336-349
Persistent link: https://www.econbiz.de/10001150279
Saved in:
6
Does intraday time-series momentum exist in Chinese stock index futures market?
Li, Yi
;
Shen, Dehua
;
Wang, Pengfei
;
Zhang, Wei
- In:
Finance research letters
35
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012438384
Saved in:
7
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
8
Stock and currency market linkages : new evidence from realized spillovers in higher moments
Do, Hung Xuan
;
Brooks, Robert
;
Sirimon Treepongkaruna
; …
- In:
International review of economics & finance : IREF
42
(
2016
),
pp. 167-185
Persistent link: https://www.econbiz.de/10011625106
Saved in:
9
Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns
Zhou, Jian
;
Gu, Gao-Feng
;
Jiang, Zhi-Qiang
;
Xiong, Xiong
; …
- In:
Computational economics
50
(
2017
)
4
,
pp. 579-594
Persistent link: https://www.econbiz.de/10011783456
Saved in:
10
Risk-neutral skewness and stock market returns : a time-series analysis
Li, Xiaowei
;
Wu, Zhengyu
;
Zhang, Hao
;
Zhang, Lu
- In:
The North American journal of economics and finance : a …
70
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014491948
Saved in:
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