Narrow search
Showing 1 - 10 of 426
Cover Image
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - In: Journal of empirical finance 29 (2014), pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Cover Image
Time-varying volatility and the power law distribution of stock returns
Warusawitharana, Missaka - In: Journal of empirical finance 49 (2018), pp. 123-141
Persistent link: https://www.econbiz.de/10012117726
Cover Image
Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
Cover Image
Testing of a market fraction model and power-law behaviour in the DAX 30
He, Xue-zhong; Li, Youwei - In: Journal of empirical finance 31 (2015), pp. 1-17
Persistent link: https://www.econbiz.de/10011489318
Cover Image
Level shifts in stock returns driven by large shocks
Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of empirical finance 29 (2014), pp. 41-51
Persistent link: https://www.econbiz.de/10011300506
Cover Image
Market proxies as factors in linear asset pricing models : still living with the roll critique
Prono, Todd - In: Journal of empirical finance 31 (2015), pp. 36-53
Persistent link: https://www.econbiz.de/10011489332
Cover Image
Long term dependence in stock returns
Jacobsen, Ben - In: Journal of empirical finance 3 (1996) 4, pp. 393-417
Persistent link: https://www.econbiz.de/10001215361
Cover Image
Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization
Kim, Chang-Jin; Nelson, Charles R.; Startz, Richard - In: Journal of empirical finance 5 (1998) 2, pp. 131-154
Persistent link: https://www.econbiz.de/10001374883
Cover Image
Testing for mean reversion in heteroskedastic data II : autoregression tests based on Gibbs-sampling-augmented randomization
Kim, Chang-Jin; Nelson, Charles R. - In: Journal of empirical finance 5 (1998) 4, pp. 385-396
Persistent link: https://www.econbiz.de/10001375196
Cover Image
Forecasting stock returns with large dimensional factor models
Giovannelli, Alessandro; Massacci, Daniele; Soccorsi, … - In: Journal of empirical finance 63 (2021), pp. 252-269
Persistent link: https://www.econbiz.de/10013259267