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Forecasting US recessions : the role of sentiment
Christiansen, Charlotte; Eriksen, Jonas Nygaard; … - In: Journal of banking & finance 49 (2014), pp. 459-468
Persistent link: https://www.econbiz.de/10010509261
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The predictive performance of commodity futures risk factors
Ahmed, Shamim; Tsvetanov, Daniel - In: Journal of banking & finance 71 (2016), pp. 20-36
Persistent link: https://www.econbiz.de/10011635309
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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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Dynamic factor Value-at-Risk for large heteroskedastic portfolios
Aramonte, Sirio; Giudice Rodriguez, Marius del; Wu, Jason - In: Journal of banking & finance 37 (2013) 11, pp. 4299-4309
Persistent link: https://www.econbiz.de/10010247041
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Granularity adjustment for default risk factor model with cohorts
Gouriéroux, Christian; Jasiak, Joann - In: Journal of banking & finance 36 (2012) 5, pp. 1464-1477
Persistent link: https://www.econbiz.de/10009615800
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Factor models for binary financial data
Perez, M. Fabricio; Shkilko, Andriy; Sokolov, Konstantin - In: Journal of banking & finance 61 (2015) 2, pp. 177-188
Persistent link: https://www.econbiz.de/10011585551
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Testing factor models in the cross-section
Hollstein, Fabian; Prokopczuk, Marcel - In: Journal of banking & finance 145 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013538943
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Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho - In: Journal of banking & finance 47 (2014), pp. 74-87
Persistent link: https://www.econbiz.de/10010506503
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Forecasting realized volatility in a changing world : a dynamic model averaging approach
Wang, Yudong; Ma, Feng; Wei, Yu; Wu, Chongfeng - In: Journal of banking & finance 64 (2016), pp. 136-149
Persistent link: https://www.econbiz.de/10011634282
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Time-series momentum in nearly 100 years of stock returns
Lim, Bryan Y.; Wang, Jiaguo; Yao, Yaqiong - In: Journal of banking & finance 97 (2018), pp. 283-296
Persistent link: https://www.econbiz.de/10011968748