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Testing for relevant dependence change in financial data : a CUSUM copula approach
Kutzker, Tim; Stark, Florian; Wied, Dominik - In: Empirical economics : a quarterly journal of the … 60 (2021) 4, pp. 1875-1894
Persistent link: https://www.econbiz.de/10012490683
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Price bubbles of agricultural commodities : evidence from China's futures market
Chen, Zhuo; Yan, Bo; Kang, Hanwen - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 195-222
Persistent link: https://www.econbiz.de/10014226282
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An econometric analysis of emission allowance prices
Paolella, Marc S.; Taschini, Luca - In: Journal of banking & finance 32 (2008) 10, pp. 2022-2032
Persistent link: https://www.econbiz.de/10003778574
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Nonlinear mean reversion in stock prices
Bali, Turan G.; Demirtas, K. Ozgur; Levy, Haim - In: Journal of banking & finance 32 (2008) 5, pp. 767-782
Persistent link: https://www.econbiz.de/10003702750
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Predicting bear and bull stock markets with dynamic binary time series models
Nyberg, Henri - In: Journal of banking & finance 37 (2013) 9, pp. 3351-3363
Persistent link: https://www.econbiz.de/10010126425
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Detecting contagion in a multivariate time series system : an application to sovereign bond markets in Europe
Blatt, Dominik; Candelon, Bertrand; Manner, Hans - In: Journal of banking & finance 59 (2015), pp. 1-13
Persistent link: https://www.econbiz.de/10011544252
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Testing for a break in the persistence in yield spreads of EMU government bonds
Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - In: Journal of banking & finance 41 (2014), pp. 109-118
Persistent link: https://www.econbiz.de/10010408487
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Autocorrelation of daily index returns : intraday-to-intraday versus close-to-close intervals
McInish, Thomas H. - In: Journal of banking & finance 15 (1991) 1, pp. 193-206
Persistent link: https://www.econbiz.de/10001100942
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The intervalling effect bias in beta : a note
Corhay, Albert - In: Journal of banking & finance 16 (1992) 1, pp. 61-73
Persistent link: https://www.econbiz.de/10001330027
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Stock returns and volatility : an empirical study of the UK stock market
Poon, Ser-Huang - In: Journal of banking & finance 16 (1992) 1, pp. 37-59
Persistent link: https://www.econbiz.de/10001330028