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Aggregation of exponential smoothing processes with an application to portfolio risk evaluation
Sbrana, Giacomo; Silvestrini, Andrea - In: Journal of banking & finance 37 (2013) 5, pp. 1437-1450
Persistent link: https://www.econbiz.de/10009729085
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Aggregation bias in tests of the commodity currency hypothesis
Bork, Lasse; Rovira Kaltwasser, Pablo; Sercu, Piet - In: Journal of banking & finance 135 (2022), pp. 1-24
Persistent link: https://www.econbiz.de/10013401953
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Vector autoregression or simultaneous equations model? : The intraday relationship between index arbitrage and market volatility
Chan, Kalok - In: Journal of banking & finance 19 (1995) 1, pp. 173-179
Persistent link: https://www.econbiz.de/10001181847
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Value maximization and the information content of corporate investment with respect to earnings
Lee, Bong-soo - In: Journal of banking & finance 21 (1997) 5, pp. 661-683
Persistent link: https://www.econbiz.de/10001222186
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Profitability of time series momentum
He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157
Persistent link: https://www.econbiz.de/10011377714
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Long memory and regime switching : a simulation study on the Markov regime-switching ARFIMA model
Shi, Yanlin; Ho, Kin-Yip - In: Journal of banking & finance 61 (2015) 2, pp. 189-204
Persistent link: https://www.econbiz.de/10011585562
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Which continuous-time model is most appropriate for exchange rates?
Erdemlioglu, Deniz; Laurent, Sébastien; Neely, … - In: Journal of banking & finance 61 (2015) 2, pp. 256-268
Persistent link: https://www.econbiz.de/10011586923
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Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices
Liao, Yin; Anderson, Heather M. - In: Journal of banking & finance 99 (2019), pp. 252-274
Persistent link: https://www.econbiz.de/10012162415
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Aggregate investor sentiment and stock return synchronicity
Chue, Timothy K.; Gul, Ferdinand A.; Mian, G. Mujtaba - In: Journal of banking & finance 108 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012224687
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Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103
Persistent link: https://www.econbiz.de/10011816827