Narrow search
Showing 1 - 10 of 16
Cover Image
A switching ARCH model for German DAX index
Kaufmann, Sylvia (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 4, pp. 1-35
Persistent link: https://www.econbiz.de/10003559162
Cover Image
The pricing of time-varying exchange rate risk in the stock market : a nonparametric approach
Chung, Y. Peter; Zhou, Zhong-guo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10009521656
Cover Image
Non-parametric estimation of copula parameters : testing for time-varying correlation
Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106
Persistent link: https://www.econbiz.de/10011311193
Cover Image
Estimating dynamic copula dependence using intraday data
Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
Cover Image
Modelling nonlinearities in equity returns : the mean impact curve analysis
Martin, Vance; Sarkar, Saikat; Kanto, Antti Jaakko - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 1, pp. 51-72
Persistent link: https://www.econbiz.de/10010347338
Cover Image
Modeling threshold effects in stock price co-movements : a vector nonlinear cointegration approach
Chlibi, Souhir; Jawadi, Fredj; Sellami, Mohamed - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 47-63
Persistent link: https://www.econbiz.de/10011650219
Cover Image
A semiparametric nonlinear quantile regression model for financial returns
Avdulaj, Krenar; Barunik, Jozef - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10011650231
Cover Image
A nonlinear model of asset returns with multiple shocks
Kahra, Hannu; Martin, Vance; Sarkar, Saikat - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 1, pp. 1-45
Persistent link: https://www.econbiz.de/10012054867
Cover Image
A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects
Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10012054880
Cover Image
Are stock returns an inflation hedge for the UK? : evidence from a wavelet analysis using over three centuries of data
Tiwari, Aviral Kumar; Cuñado Eizaguirre, Juncal; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 3, pp. 1-17
Persistent link: https://www.econbiz.de/10012054891