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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014
Persistent link: https://www.econbiz.de/10010394599
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Testing for rational bubbles in a co-explosive vector autoregression
Engsted, Tom; Nielsen, Bent - 2010
Persistent link: https://www.econbiz.de/10003978304
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Effects of economic policy uncertainty shocks on the long-run US-UK stock market correlation
Asgharian, Hossein; Christiansen, Charlotte; Gupta, Rangan - 2016
Persistent link: https://www.econbiz.de/10011541711
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Tails, fears and risk premia
Bollerslev, Tim; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003849565
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A duration hidden Markov model for the identification of regimes in stock market returns
Ntantamis, Christos - 2010
Persistent link: https://www.econbiz.de/10008651655
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
Persistent link: https://www.econbiz.de/10008651782
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Nonlinear dynamic interrelationships between real activity and stock returns
Lanne, Markku; Nyberg, Henri - 2015
Persistent link: https://www.econbiz.de/10011327712
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The pruned state-space system for non-linear DSGE models : theory and empirical applications
Andreasen, Martin Møller; Fernández-Villaverde, Jesús; … - 2013
Persistent link: https://www.econbiz.de/10009733564
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Risk and return : long-run relationships, fractional cointegration, and return predictability
Bollerslev, Tim (contributor) - 2011
Persistent link: https://www.econbiz.de/10009785804
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Extreme negative coexceedances in South Eastern European stock markets
Tevdovski, Dragan - 2014
Persistent link: https://www.econbiz.de/10010365646