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Cojumps and asset allocation in international equity markets
Arouri, Mohamed; M’saddek, Oussama; Nguyen, Duc Khuong; … - In: Journal of economic dynamics & control 98 (2019), pp. 1-22
Persistent link: https://www.econbiz.de/10012130688
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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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Structural estimation of stock market participation costs
Khorunzhina, Natalia - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2928-2942
Persistent link: https://www.econbiz.de/10010348094
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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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Investor expectations, earnings management, and asset prices
Du, Kai - In: Journal of economic dynamics & control 105 (2019), pp. 134-157
Persistent link: https://www.econbiz.de/10012131947
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The distribution of cross sectional momentum returns
Kwon, Oh Kang; Satchell, Stephen - In: Journal of economic dynamics & control 94 (2018), pp. 225-241
Persistent link: https://www.econbiz.de/10012004391
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A new approach to risk-return trade-off dynamics via decomposition
Frazier, David T.; Liu, Xiaochun - In: Journal of economic dynamics & control 62 (2016), pp. 43-55
Persistent link: https://www.econbiz.de/10011708149
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Model complexity and out-of-sample performance : evidence from S&P 500 index returns
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of economic dynamics & control 90 (2018), pp. 1-29
Persistent link: https://www.econbiz.de/10011974016
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Index tracking model, downside risk and non-parametric kernel estimation
Huang, Jinbo; Li, Yong; Yao, Haixiang - In: Journal of economic dynamics & control 92 (2018), pp. 103-128
Persistent link: https://www.econbiz.de/10011974395