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Generalized runs tests to detect randomness in hedge funds returns
Hentati-Kaffel, Rania; De Peretti, Philippe - In: Journal of banking & finance 50 (2015), pp. 608-615
Persistent link: https://www.econbiz.de/10010510178
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Measuring time-varying financial market integration : an unobserved components approach
Berger, Tino; Pozzi, Lorenzo - In: Journal of banking & finance 37 (2013) 2, pp. 463-473
Persistent link: https://www.econbiz.de/10009705640
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Return sign forecasts based on conditional risk : evidence from the UK stock market index
Chevapatrakul, Thanaset - In: Journal of banking & finance 37 (2013) 7, pp. 2342-2353
Persistent link: https://www.econbiz.de/10009760654
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Nonparametric correlation models for portfolio allocation
Aslanidis, Nektarios; Casas, Isabel - In: Journal of banking & finance 37 (2013) 7, pp. 2268-2283
Persistent link: https://www.econbiz.de/10009760686
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Forecasting the return distribution using high-frequency volatility measures
Hua, Jian; Manzan, Sebastiano - In: Journal of banking & finance 37 (2013) 11, pp. 4381-4403
Persistent link: https://www.econbiz.de/10010247031
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The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium
Ederington, Louis H.; Guan, Wei - In: Journal of banking & finance 37 (2013) 9, pp. 3388-3400
Persistent link: https://www.econbiz.de/10010126417
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The role of credit in the Great Moderation : a multivariate GARCH approach
Grydaki, Maria; Bezemer, Dirk Johan - In: Journal of banking & finance 37 (2013) 11, pp. 4615-4626
Persistent link: https://www.econbiz.de/10010248518
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Stock market volatility: Identifying major drivers and the nature of their impact
Mittnik, Stefan; Robinzonov, Nikolay; Spindler, Martin - In: Journal of banking & finance 58 (2015), pp. 1-14
Persistent link: https://www.econbiz.de/10011543844
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Endogenous crisis dating and contagion using smooth transition structural GARCH
Dungey, Mardi H.; Milunovich, George; Thorp, Susan; … - In: Journal of banking & finance 58 (2015), pp. 71-79
Persistent link: https://www.econbiz.de/10011543895
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Do negative and positive equity returns share the same volatility dynamics?
Palandri, Alessandro - In: Journal of banking & finance 58 (2015), pp. 486-505
Persistent link: https://www.econbiz.de/10011544048