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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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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 in the real exchange rate adjustment mechanism
Copeland, Laurence S.; Heravi, Saeed M. - In: Applied financial economics 19 (2009) 1/3, pp. 121-134
We show that the behaviour of the real exchange rates of the UK, Germany, France and Japan has been characterized by structural breaks, which changed the adjustment mechanism. In the context of a Time-Varying Smooth Transition Autoregression (TV-STAR) of the kind introduced by Lundbergh et al....
Persistent link: https://www.econbiz.de/10003825837
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Revisiting the anomalous relationship between inflation and real estate investment trust returns in presence of structural breaks : empirical evidence from the USA and the UK
Das, Mahamitra; Sarkar, Nityananda - In: International journal of economics and financial issues … 10 (2020) 1, pp. 250-258
Persistent link: https://www.econbiz.de/10012151329
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Value-at-Risk analysis in the presence of asymmetry and long memory : the case of Turkish Stock Market
Balibey, Mesut; Turkyilmaz, Serpil - In: International journal of economics and financial issues … 4 (2014) 4, pp. 836-848
Persistent link: https://www.econbiz.de/10010528502
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Modeling stock market returns under self-exciting threshold autoregressive model : evidence from West Africa
Gyamfi, Emmanuel Numapau; Kyei, Kwabena A. - In: International journal of economics and financial issues … 6 (2016) 3, pp. 1194-1199
Persistent link: https://www.econbiz.de/10011698077
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Changes in the unconditional variance and autoregressive conditional heteroscedasticity
Peiro, Amado - In: International journal of economics and financial issues … 6 (2016) 4, pp. 1338-1343
Persistent link: https://www.econbiz.de/10011774855
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The stability of risk factors in the UK stock market
Sufar Bahri, Saiful; Leger, Lawrence A. - In: Applied financial economics 11 (2001) 4, pp. 411-422
Persistent link: https://www.econbiz.de/10001595027
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Testing for foreign exchange market efficiency : a trivariate vector autoregressive approach
Shen, Chung-hua - In: Applied financial economics 7 (1997) 6, pp. 711-719
Persistent link: https://www.econbiz.de/10001240747