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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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793
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1
Price dividend ratio and long-run stock returns : a score-driven state space model
Delle Monache, Davide
;
Petrella, Ivan
;
Venditti, Fabrizio
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1054-1065
Persistent link: https://www.econbiz.de/10012653225
Saved in:
2
A score-driven conditional
correlation
model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
3
Detecting structural differences in tail dependence of financial time series
Bormann, Carsten
;
Schienle, Melanie
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 380-392
Persistent link: https://www.econbiz.de/10012262482
Saved in:
4
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
Saved in:
5
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
Saved in:
6
A factor-based
estimation
of integrated covariance matrix with noisy high-frequency data
Sun, Yucheng
;
Xu, Wen
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 770-784
Persistent link: https://www.econbiz.de/10013534498
Saved in:
7
Change‐point detection in the conditional
correlation
structure of multivariate volatility models
Barassi, Marco R.
;
Horváth, Lajos
;
Zhao, Yuqian
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 340-349
Persistent link: https://www.econbiz.de/10012262479
Saved in:
8
Long-memory and level shifts in the volatility of stock market return indices
Perron, Pierre
;
Qu, Zhongjun
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
2
,
pp. 275-290
Persistent link: https://www.econbiz.de/10008736221
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9
Real and spurious long-memory properties of stock-market data
Lobato, Ignacio N.
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
3
,
pp. 261-268
Persistent link: https://www.econbiz.de/10001246513
Saved in:
10
Semiparametric
estimation
of risk-return relationships
Escanciano, Juan Carlos
;
Pardo-Fernández, Juan Carlos
; …
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10011704099
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