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Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - In: Journal of econometrics 133 (2006) 1, pp. 343-371
Persistent link: https://www.econbiz.de/10003354581
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Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - In: Journal of econometrics 158 (2010) 1, pp. 7-24
Persistent link: https://www.econbiz.de/10008826880
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Breaks and persistency: macroeconomic causes of stock market volatility
Beltratti, Andrea; Morana, Claudio - In: Journal of econometrics 131 (2006) 1/2, pp. 151-177
Persistent link: https://www.econbiz.de/10003298570
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Autoregressive Distributed Lag (ARDL) analysis of US-China commodity trade dynamics
Hurley, Dene T.; Papanikolaou, Nikolaos - In: The quarterly review of economics and finance : journal … 81 (2021), pp. 454-467
Persistent link: https://www.econbiz.de/10012656444
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Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter; Cavaliere, Giuseppe; Rahbek, Anders - In: Journal of econometrics 192 (2016) 1, pp. 64-85
Persistent link: https://www.econbiz.de/10011615672
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Oil price fluctuations and exchange rate dynamics in the MENA region : evidence from non-causality-in-variance and asymmetric non-causality tests
Nouira, Ridha; Hadj Amor, Thouraya; Rault, Christophe - In: The quarterly review of economics and finance : journal … 73 (2019), pp. 159-171
Persistent link: https://www.econbiz.de/10012296707
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Estimation of fractionally integrated panels with fixed effects and cross-section dependence
Ergemen, Yunus Emre; Velasco, Carlos - In: Journal of econometrics 196 (2017) 2, pp. 248-258
Persistent link: https://www.econbiz.de/10011818289
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A multivariate test against spurious long memory
Sibbertsen, Philipp; Leschinski, Christian; Busch, Marie - In: Journal of econometrics 203 (2018) 1, pp. 33-49
Persistent link: https://www.econbiz.de/10011974604
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Can direct government intervention save the stock market?
Nguyen, Tien-Trung; Wu, Yang-Che; Ke, Mei-chu; Liao, … - In: The quarterly review of economics and finance : journal … 84 (2022), pp. 271-284
Persistent link: https://www.econbiz.de/10013334876
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The dynamics of Central European equity market comovements
Gilmore, Claire Gilbert; Lucey, Brian M.; McManus, … - In: The quarterly review of economics and finance : journal … 48 (2008) 3, pp. 605-622
Persistent link: https://www.econbiz.de/10003747277