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Quantiles of the realized stock-bond correlation and links to the macroeconomy
Aslanidis, Nektarios; Christiansen, Charlotte - In: Journal of empirical finance 28 (2014), pp. 321-331
Persistent link: https://www.econbiz.de/10011285626
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Investor sentiment and global economic conditions
Herculano, Miguel C.; Lütkebohmert-Holtz, Eva - In: Journal of empirical finance 73 (2023), pp. 134-152
Persistent link: https://www.econbiz.de/10014477003
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Bond portfolio optimization using dynamic factor models
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Journal of empirical finance 37 (2016), pp. 128-158
Persistent link: https://www.econbiz.de/10011662973
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Factor state-space models for high-dimensional realized covariance matrices of asset returns
Gribisch, Bastian; Hartkopf, Jan Patrick; Liesenfeld, Roman - In: Journal of empirical finance 55 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012175249
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Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca; Zhao, Zhao - In: Journal of empirical finance 72 (2023), pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
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Detecting synchronous cycles in financial time series of unequal length
Reschenhofer, Erhard; Lingler, Michaela - In: Journal of empirical finance 24 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10010371995
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Country versus sector factors in equity returns : the roles of non-unit exposures
Moor, Lieven de; Sercu, Piet - In: Journal of empirical finance 18 (2011) 1, pp. 64-77
Persistent link: https://www.econbiz.de/10009301177
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Forecasting stock returns with large dimensional factor models
Giovannelli, Alessandro; Massacci, Daniele; Soccorsi, … - In: Journal of empirical finance 63 (2021), pp. 252-269
Persistent link: https://www.econbiz.de/10013259267
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Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study
Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - In: Journal of empirical finance 18 (2011) 1, pp. 147-159
Persistent link: https://www.econbiz.de/10009301149
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Timescale-dependent stock market comovement : BRICs vs. developed markets
Lehkonen, Heikki; Heimonen, Kari - In: Journal of empirical finance 28 (2014), pp. 90-103
Persistent link: https://www.econbiz.de/10011285085