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Predicting BRICS stock returns using ARFIMA models
Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan; … - In: Applied financial economics 24 (2014) 16/18, pp. 1159-1166
Persistent link: https://www.econbiz.de/10010418936
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Returns, volatility and the cryptocurrency bubble of 2017-18
Cross, Jamie; Hou, Chenghan; Trinh, Kelly - In: Economic modelling 104 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013164208
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Structural breaks in volatility : the case of UK sector returns
McMillan, David G.; Wohar, Mark E. - In: Applied financial economics 21 (2011) 13/15, pp. 1079-1093
Persistent link: https://www.econbiz.de/10009317435
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Stock returns and real activity : is there still a connection?
Binswanger, Mathias - In: Applied financial economics 10 (2000) 4, pp. 379-387
Persistent link: https://www.econbiz.de/10001526315
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Structural breaks and GARCH models of stock return volatility : the case of South Africa
Babikir, Ali; Gupta, Rangan; Mwabutwa, Chance; … - In: Economic modelling 29 (2012) 6, pp. 2435-2443
Persistent link: https://www.econbiz.de/10009673703
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Detecting structural differences in tail dependence of financial time series
Bormann, Carsten; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 380-392
Persistent link: https://www.econbiz.de/10012262482
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Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10011691256
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Rank tests at jump events
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
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Testing alphas in conditional time-varying factor models with high-dimensional assets
Ma, Shujie; Lan, Wei; Su, Liangjun; Tsai, Chih-Ling - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 214-227
Persistent link: https://www.econbiz.de/10012179549
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Moment-based copula tests for financial returns
Chen, Yi-ting - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 4, pp. 377-397
Persistent link: https://www.econbiz.de/10003566044