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Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - In: Journal of economic dynamics & control 31 (2007) 6, pp. 1808-1843
Persistent link: https://www.econbiz.de/10003487855
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The bull and bear market model of Huang and Day : some extensions and new results
Tramontana, Fabio; Westerhoff, Frank H.; Gardini, Laura - In: Journal of economic dynamics & control 37 (2013) 11, pp. 2351-2370
Persistent link: https://www.econbiz.de/10010196878
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What does financial volatility tell us about macroeconomic fluctuations?
Chauvet, Marcelle; Senyuz, Zeynep; Yoldas, Emre - In: Journal of economic dynamics & control 52 (2015), pp. 340-360
Persistent link: https://www.econbiz.de/10011474221
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Structural stochastic volatility in asset pricing dynamics : estimation and model contest
Franke, Reiner; Westerhoff, Frank H. - In: Journal of economic dynamics & control 36 (2012) 8, pp. 1193-1211
Persistent link: https://www.econbiz.de/10009655726
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Shifts in volatility driven by large stock market shocks
Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of economic dynamics & control 55 (2015), pp. 130-147
Persistent link: https://www.econbiz.de/10011587216
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The stock-bond comovements and cross-market trading
Mengling Li; Zheng, Huanhuan; Chong, Terence Tai-Leung; … - In: Journal of economic dynamics & control 73 (2016), pp. 417-438
Persistent link: https://www.econbiz.de/10011709117
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An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
Jawadi, Fredj; Namouri, Hela; Ftiti, Zied - In: Journal of economic dynamics & control 91 (2018), pp. 469-484
Persistent link: https://www.econbiz.de/10011974225
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Momentum and the cross-section of stock volatility
Fan, Minyou; Kearney, Fearghal; Li, Youwei; Liu, Jiadong - In: Journal of economic dynamics & control 144 (2022), pp. 1-30
Persistent link: https://www.econbiz.de/10013543109
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Gamma positioning and market quality
Buis, Boyd; Pieterse-Bloem, Mary; Verschoor, Willem F. C.; … - In: Journal of economic dynamics & control 164 (2024), pp. 1-20
Persistent link: https://www.econbiz.de/10015051098
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Competition among high-frequency traders and market quality
Breckenfelder, Johannes - In: Journal of economic dynamics & control 166 (2024), pp. 1-22
Persistent link: https://www.econbiz.de/10015051273