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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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Fundamental and nonfundamental components in stock prices of Pacific-Rim countries
Chung, Heetaik; Lee, Bong-Soo - In: Pacific-Basin finance journal 6 (1998) 3/4, pp. 321-346
Persistent link: https://www.econbiz.de/10001375940
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Do factor models explain stock returns when prices behave explosively? : evidence from China
Wang, Shaoping; Yu, Lu; Zhao, Qing - In: Pacific-Basin finance journal 67 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10013252942
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Investor PSY-chology surrounding "Gangnam Style"
Kim, Y. Han Andy; Jung, Hosung - In: Pacific-Basin finance journal 37 (2016), pp. 23-34
Persistent link: https://www.econbiz.de/10011668969
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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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Can margin traders predict future stock returns in Japan?
Hirose, Takehide; Katō, Hideaki; Bremer, Marc - In: Pacific-Basin finance journal 17 (2009) 1, pp. 41-57
Persistent link: https://www.econbiz.de/10003800545
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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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False discoveries in the anomaly research : new insights from the Stock Exchange of Melbourne (1927-1987)
Cakici, Nusret; Zaremba, Adam; Bianchi, Robert; Pham, Nga - In: Pacific-Basin finance journal 70 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013392350
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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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Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation
Choe, Kwang-il; Choi, Pilsun; Nam, Kiseok; Vahid, Farshid - In: Pacific-Basin finance journal 20 (2012) 2, pp. 271-291
Persistent link: https://www.econbiz.de/10009488255