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Multivariate models with long memory dependence in conditional correlation and volatility
Dark, Jonathan - In: Journal of empirical finance 48 (2018), pp. 162-180
Persistent link: https://www.econbiz.de/10012109291
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An adaptive long memory conditional correlation model
Dark, Jonathan - In: Journal of empirical finance 75 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014491877
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When "time varying" volatility meets "transaction cost" in portfolio selection
Qiao, W.; Bu, Di; Gibberd, Alex J.; Liao, Yin; Wen, Ting; … - In: Journal of empirical finance 73 (2023), pp. 220-237
Persistent link: https://www.econbiz.de/10014477015
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Long memory and nonlinearity in conditional variances : a smooth transition FIGARCH model
Kiliç, Rehim - In: Journal of empirical finance 18 (2011) 2, pp. 368-378
Persistent link: https://www.econbiz.de/10009301107
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Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris; Croux, Christophe; Laurent, Sébastien - In: Journal of empirical finance 18 (2011) 2, pp. 353-367
Persistent link: https://www.econbiz.de/10009301110
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Markets change every day : evidence from the memory of trade direction
Axioglou, Christos; Skouras, Spyros - In: Journal of empirical finance 18 (2011) 3, pp. 423-446
Persistent link: https://www.econbiz.de/10009302093
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A frequency-domain alternative to long-horizon regressions with application to return predictability
Sizova, Natalia - In: Journal of empirical finance 28 (2014), pp. 261-272
Persistent link: https://www.econbiz.de/10011285632
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Bandwidth selection by cross-validation for forecasting long memory financial time series
Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Journal of empirical finance 29 (2014), pp. 129-143
Persistent link: https://www.econbiz.de/10011300500
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Long memory in log-range series : do structural breaks matter?
Chatzikonstanti, Vasiliki; Venetis, Ioannis A. - In: Journal of empirical finance 33 (2015), pp. 104-113
Persistent link: https://www.econbiz.de/10011556856
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Time-series and cross-sectional excess comovement in stock indexes
Kallberg, Jarl G.; Pasquariello, Paolo - In: Journal of empirical finance 15 (2008) 3, pp. 481-502
Persistent link: https://www.econbiz.de/10003759562