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Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 43 (2017), pp. 130-142
Persistent link: https://www.econbiz.de/10011817944
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Are cryptocurrencies a safe haven for stock investors? : a regime-switching approach
Li, Leon; Miu, Peter - In: Journal of empirical finance 70 (2023), pp. 367-385
Persistent link: https://www.econbiz.de/10014423734
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Are idiosyncratic volatility and MAX priced in the Canadian market?
Aboulamer, Anas; Kryzanowski, Lawrence - In: Journal of empirical finance 37 (2016), pp. 20-36
Persistent link: https://www.econbiz.de/10011662897
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Limits to arbitrage and CDS-bond dynamics around the financial crisis
Chalamandaris, George; Pagratis, Spyros - In: Journal of empirical finance 54 (2019), pp. 213-235
Persistent link: https://www.econbiz.de/10012174829
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CDS-bond basis and bond return predictability
Kim, Gi H.; Li, Haitao; Zhang, Weina - In: Journal of empirical finance 38 (2016), pp. 307-337
Persistent link: https://www.econbiz.de/10011664711
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of empirical finance 19 (2012) 4, pp. 610-625
Persistent link: https://www.econbiz.de/10009615658
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Pricing of liquidity risks : evidence from multiple liquidity measures
Kim, Soon-Ho; Lee, Kuan-hui - In: Journal of empirical finance 25 (2014), pp. 112-133
Persistent link: https://www.econbiz.de/10010462050
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Liquidation discount : a novel application of ARFIMA-GARCH
Singh, Ranjodh B.; Gould, John; Chan, Felix; Yang, Wenling - In: Journal of empirical finance 36 (2016), pp. 151-161
Persistent link: https://www.econbiz.de/10011662835
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Modeling and forecasting stock return volatility using a random level shift model
Lu, Yang K.; Perron, Pierre - In: Journal of empirical finance 17 (2010) 1, pp. 138-156
Persistent link: https://www.econbiz.de/10003943961
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A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models
Bauwens, Luc; De Backer, Bruno; Dufays, Arnaud - In: Journal of empirical finance 29 (2014), pp. 207-229
Persistent link: https://www.econbiz.de/10011300484