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Analyzing time-frequency co-movements across gold and oil prices with BRICS stock markets : a VaR based on wavelet approach

Mensi, Walid; Hkiri, Besma; Al-Yahyaee, Khamis Hamed; … - In: International review of economics & finance : IREF 54 (2018), pp. 74-102

Persistent link: https://www.econbiz.de/10012033348

Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - In: International review of economics & finance : IREF 42 (2016), pp. 186-201

Persistent link: https://www.econbiz.de/10011625108

Interest rate changes and stock returns : a European multi-country study with wavelets

Ferrer, Román; Bolós, Vicente J.; Benítez, Rafael - In: International review of economics & finance : IREF 44 (2016), pp. 1-12

Persistent link: https://www.econbiz.de/10011625975

Is the refining margin stationary?

Población, Javier; Serna, Gregorio - In: International review of economics & finance : IREF 44 (2016), pp. 169-186

Persistent link: https://www.econbiz.de/10011626045

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

Persistent link: https://www.econbiz.de/10011568279

Money growth and inflation in China : new evidence from a wavelet analysis

Jiang, Chun; Chang, Tsangyao; Li, Xiao-Lin - In: International review of economics & finance : IREF 35 (2015), pp. 249-261

Persistent link: https://www.econbiz.de/10011333667

Historical decoupling in the EU : evidence from time-frequency analysis

Kapounek, Svatopluk; Kučerová, Zuzana - In: International review of economics & finance : IREF 60 (2019), pp. 265-280

Persistent link: https://www.econbiz.de/10012204370

Estimation of favar models for incomplete data with a Kalman Filter for factors with observable components

Ramsauer, Franz; Min, Aleksey; Lingauer, Michael - In: Econometrics : open access journal 7 (2019) 3/31, pp. 1-43

This article extends the Factor-Augmented Vector Autoregression Model (FAVAR) to mixed-frequency and incomplete panel …

Persistent link: https://www.econbiz.de/10012161533

Time-varying causality between crude oil and stock markets : what can we learn from a multiscale perspective?

Jammazi, Rania; Ferrer, Román; Jareño, Francisco; … - In: International review of economics & finance : IREF 49 (2017), pp. 453-483

Persistent link: https://www.econbiz.de/10011748513

Evaluating exchange rate forecasts along time and frequency

Caraiani, Petre - In: International review of economics & finance : IREF 51 (2017), pp. 60-81

Persistent link: https://www.econbiz.de/10011754137