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Bayesian time-varying quantile forecasting for value-at-risk in financial markets
Gerlach, Richard H.; Chen, Cathy W. S.; Chan, Nancy Y. C. - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 481-492
Persistent link: https://www.econbiz.de/10009355672
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Bayesian analysis of latent threshold dynamic models
Nakajima, Jouchi; West, Mike - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 151-164
Persistent link: https://www.econbiz.de/10009754013
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Estimation of high-frequency volatility : an autoregressive conditional duration approach
Tse, Yiu Kuen; Yang, Thomas Tao - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 4, pp. 533-545
Persistent link: https://www.econbiz.de/10009667044
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Heterocedasticity robust panel unit root tests
Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 112-135
Persistent link: https://www.econbiz.de/10010380473
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Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations
Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87
Persistent link: https://www.econbiz.de/10010380478
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Decomposing US Stock Market Comovement into spillovers and common factors
Weber, Enzo - In: The North American journal of economics and finance : a … 26 (2013), pp. 106-118
Persistent link: https://www.econbiz.de/10010364818
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How does news sentiment impact asset volatility? : evidence from long memory and regime-switching approaches
Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: The North American journal of economics and finance : a … 26 (2013), pp. 436-456
Persistent link: https://www.econbiz.de/10010367572
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Time-varying mixture GARCH models and asymmetric volatility
Haas, Markus; Krause, Jochen; Paolella, Marc S.; … - In: The North American journal of economics and finance : a … 26 (2013), pp. 602-623
Persistent link: https://www.econbiz.de/10010370491
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Time-varying dependence between stock and government bond returns : international evidence with dynamic copulas
Jammazi, Rania; Tiwari, Aviral Kumar; Ferrer, Román; … - In: The North American journal of economics and finance : a … 33 (2015), pp. 74-93
Persistent link: https://www.econbiz.de/10011534370
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Effects of macroeconomic uncertainty on the stock and bond markets
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Finance research letters 13 (2015), pp. 10-16
Persistent link: https://www.econbiz.de/10011552317