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Momentum and reversals when overconfident investors underestimate their competition
Luo, Jiang; Subrahmanyam, Avanidhar; Titman, Sheridan - In: The review of financial studies 34 (2021) 1, pp. 351-393
Persistent link: https://www.econbiz.de/10012405815
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Optimal filtering of jump diffusions : extracting latent states from asset prices
Johannes, Michael S.; Polson, Nicholas G.; Stroud, … - In: The review of financial studies 22 (2009) 7, pp. 2759-2799
Persistent link: https://www.econbiz.de/10003866870
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Multifrequency news and stock returns
Calvet, Laurent E.; Fisher, Adlai - In: Journal of financial economics 86 (2007) 1, pp. 178-212
Persistent link: https://www.econbiz.de/10003546307
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Fact or friction : jumps at ultra high frequency
Christensen, Kimberly; Oomen, Roel C. A.; Podolskij, Mark - In: Journal of financial economics 114 (2014) 3, pp. 576-599
Persistent link: https://www.econbiz.de/10010532687
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Forecasting energy market volatility using GARCH models : can multivariate models beat univariate models?
Wang, Yudong; Wu, Chongfeng - In: Energy economics 34 (2012) 6, pp. 2167-2181
Persistent link: https://www.econbiz.de/10009688795
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"Déjà vol" : predictive regressions for aggregate stock market volatility using macroeconomic variables
Paye, Bradley S. - In: Journal of financial economics 106 (2012) 3, pp. 527-546
Persistent link: https://www.econbiz.de/10009710165
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Cross-asset signals and time series momentum
Pitkäjärvi, Aleksi; Suominen, Matti; Vaittinen, Lauri - In: Journal of financial economics 136 (2020) 1, pp. 63-85
Persistent link: https://www.econbiz.de/10012545360
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Common cycles and common trends in the stock and oil markets : evidence from more than 150 years of data
Balcilar, Mehmet; Gupta, Rangan; Wohar, Mark E. - In: Energy economics 61 (2017), pp. 72-86
Persistent link: https://www.econbiz.de/10011737672
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Forecasting stock index return and volatility based on GAVMD- Carbon-BiLSTM : how important is carbon emission trading?
Ouyang, Zisheng; Lu, Min; Lai, Yongzeng - In: Energy economics 128 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10015072635
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Measuring the predictable variation in stock and bond returns
Kirby, Chris - In: The review of financial studies 10 (1997) 3, pp. 579-630
Persistent link: https://www.econbiz.de/10001227982