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Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift
Li, Shaoyu; Zheng, Tingguo - In: The North American journal of economics and finance : a … 40 (2017), pp. 200-221
Persistent link: https://www.econbiz.de/10011878816
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Measuring extreme risk spillovers across international stock markets : a quantile variance decomposition analysis
Su, Xianfang - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012660129
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Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA
Golitsis, Petros; Gkasis, Pavlos; Bellos, Sotirios K. - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-26
Persistent link: https://www.econbiz.de/10014225729
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Factor models in the German electricity market : stylized facts, seasonality, and calibration
Hinderks, Wieger Johan; Wagner, Andreas - In: Energy economics 85 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012510288
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The rise and fall of S&P500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
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Refining the asymctmetric impacts of oil price uncertainty on Chinese stock returns based on a semiparametric additive quantile regression analysis
Xie, Qichang; Wu, Haifeng; Ma, Yu - In: Energy economics 102 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013162433
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Estimation of spot volatility with superposed noisy data
Liu, Qiang; Liu, Yiqi; Liu, Zhi; Wang, Li - In: The North American journal of economics and finance : a … 44 (2018), pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
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Do terror attacks affect the dollar-pound exchange rate? : a nonparametric causality-in-quantiles analysis
Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian; … - In: The North American journal of economics and finance : a … 41 (2017), pp. 44-56
Persistent link: https://www.econbiz.de/10011878932
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The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom : evidence from a nonparametric causality-in-quantiles test using over...
Gupta, Rangan; Risse, Marian; Volkman, David A.; Wohar, … - In: The North American journal of economics and finance : a … 47 (2019), pp. 391-405
Persistent link: https://www.econbiz.de/10012117890
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Using nonparametric copulas to measure crude oil price co-movements
Ho, Anson T. Y.; Huynh, Kim P.; Jacho-Chávez, David Tomás - In: Energy economics 82 (2019), pp. 211-223
Persistent link: https://www.econbiz.de/10012173921