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Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279
Persistent link: https://www.econbiz.de/10011808179
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The EMBI in Latin America : fractional integration, non-linearities and breaks
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - In: Finance research letters 24 (2018), pp. 34-41
Persistent link: https://www.econbiz.de/10011982450
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Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147
Persistent link: https://www.econbiz.de/10012006763
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Volatility persistence in the Russian stock market
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 32 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012430826
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Consumption, aggregate wealth and expected stock returns : an FCVAR approach
Quineche, Ricardo - In: Journal of time series econometrics 13 (2021) 1, pp. 21-42
Persistent link: https://www.econbiz.de/10012437824
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Testing for a change in mean under fractional integration
Iacone, Fabrizio; Leybourne, Stephen James; Taylor, Robert - In: Journal of time series econometrics 9 (2017) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10011671125
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Persistence in US Treasury bonds
Abakah, Emmanuel Joel Aikins; Gil-Alaña, Luis A. - In: Finance research letters 45 (2022), pp. 1-3
Persistent link: https://www.econbiz.de/10014578142
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Time variation in the relative importance of permanent and transitory components in the U.S. housing market
Kishor, N. Kundan; Kumari, Swati; Song, Suyong - In: Finance research letters 12 (2015), pp. 92-99
Persistent link: https://www.econbiz.de/10011552261
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Forecasting volatility and the risk-return tradeoff : an application on the Fama-French benchmark market return
Vafiadis, Nikolaos - In: Journal of time series econometrics 7 (2015) 2, pp. 181-216
Persistent link: https://www.econbiz.de/10011291298
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Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209
Persistent link: https://www.econbiz.de/10011808396