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Trading volume and autocorrelation : empirical evidence from the Stockholm Stock Exchange

Säfvenblad, Patrik - 1997

Persistent link: https://www.econbiz.de/10000971380

A new non-linear GARCH model

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000958392

A latent factor model of European exchange rate risk premia

Alexius, Annika; Sellin, Peter - 1997

Persistent link: https://www.econbiz.de/10000958083

A dynamic conditionally heteroscedastic stochastic frontier model

Löthgren, Mickael - 1998

Persistent link: https://www.econbiz.de/10000984774

A smooth transition ARCH model for asset returns

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000959364

Modeling Nordic stock returns with asymmetric GARCH models

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000959372

Openness and the exchange rate exposure of national stock markets : a note

Friberg, Richard; Nydahl, Stefan - 1997

Persistent link: https://www.econbiz.de/10000971403

Price formation in multi-asset securities markets

Säfvenblad, Patrik - 1997

Persistent link: https://www.econbiz.de/10000971912

Is momentum due to data-snooping?

Ericsson, Johan (contributor); … - 2003 - [Elektronische Ressource]

This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and NASDAQ stocks on the CRSP database. The analysis considers the period July 1963 to December 2002 and the tests are performed on portfolios formed on industry, size and...

Persistent link: https://www.econbiz.de/10001883186

Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations

Silvennoinen, Annastiina (contributor); … - 2005 - [Elektronische Ressource], Rev. October 2005

; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …

Persistent link: https://www.econbiz.de/10002570445

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