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Identifying bull and bear markets in stock returns

Maheu, John M.; McCurdy, Thomas H. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 100-112

Persistent link: https://www.econbiz.de/10001441612

Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model

Li, Mengheng; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 285-301

Persistent link: https://www.econbiz.de/10012804111

Testing for an omitted multiplicative long-term component in GARCH models

Conrad, Christian; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 229-242

We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative, there is a two-component model with a short-term GARCH component that fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of...

Persistent link: https://www.econbiz.de/10012795900

Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets

Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 892-906

Persistent link: https://www.econbiz.de/10012653200

Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations

Yamauchi, Yuta; Omori, Yasuhiro - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 839-855

Persistent link: https://www.econbiz.de/10012313374

New HEAVY models for fat-tailed realized covariances and returns

Opschoor, Anne; Janus, Paweł; Lucas, André; Dijk, Dick van - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 643-657

Persistent link: https://www.econbiz.de/10012249228

A realized stochastic volatility model with box-cox transformation

Zheng, Tingguo; Song, Tao - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 4, pp. 593-605

Persistent link: https://www.econbiz.de/10010488412

A statistical recurrent stochastic volatility model for stock markets

Trong-Nghia Nguyen; Minh-Ngoc Tran; Gunawan, David; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 414-428

Persistent link: https://www.econbiz.de/10014448201

Singular conditional autoregressive Wishart model for realized covariance matrices

Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 833-845

Persistent link: https://www.econbiz.de/10014448443

Estimation of leverage effect : kernel function and efficiency

Yang, Xiye - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 939-956

Persistent link: https://www.econbiz.de/10014448463