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ECONIS (ZBW)
153
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1
Herding, information cascades and
volatility
spillovers in futures markets
McAleer, Michael
;
Radalj, Kim
-
2013
Persistent link: https://www.econbiz.de/10009784945
Saved in:
2
Long-run reversal in commodity returns : insights from seven centuries of evidence
Zaremba, Adam
;
Bianchi, Robert
;
Mikutowski, Mateusz
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013256444
Saved in:
3
Cross-asset time-series momentum : crude oil
volatility
and global stock markets
Fernandez-Perez, Adrian
;
Indriawan, Ivan
;
Tse, Yiuman
; …
- In:
Journal of banking & finance
154
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014492117
Saved in:
4
Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt
;
Gooijer, Jan G. de
-
2000
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289
Saved in:
5
Combining momentum with reversal in commodity futures
Bianchi, Robert
;
Drew, Michael E.
;
Fan, John Hua
- In:
Journal of banking & finance
59
(
2015
),
pp. 423-444
Persistent link: https://www.econbiz.de/10011544644
Saved in:
6
Exploiting commodity momentum along the futures curves
Groot, Wilma de
;
Karstanje, Dennis
;
Zhou, Weili
- In:
Journal of banking & finance
48
(
2014
),
pp. 79-93
Persistent link: https://www.econbiz.de/10010506936
Saved in:
7
Commodity and equity markets : some stylized facts from a copula approach
Delatte, Anne-Laure
;
Lopez, Claude
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 5346-5356
Persistent link: https://www.econbiz.de/10010343717
Saved in:
8
Investable commodity premia in China
Bianchi, Robert
;
Fan, John Hua
;
Zhang, Tingxi
- In:
Journal of banking & finance
127
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012820586
Saved in:
9
Determinants and predictability of commodity producer returns
Wang, Qiao
;
Balvers, Ronald J.
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013256637
Saved in:
10
Curve momentum
Paschke, Raphael
;
Prokopczuk, Marcel
;
Wese Simen, Chardin
- In:
Journal of banking & finance
113
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012226133
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