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Oil price shocks and the US stock market : a nonlinear approach
Hwang, Inwook; Kim, Jaebeom - In: Journal of empirical finance 64 (2021), pp. 23-36
Persistent link: https://www.econbiz.de/10013259395
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Oil and the short-term predictability of stock return volatility
Wang, Yudong; Wei, Yu; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 47 (2018), pp. 90-104
Persistent link: https://www.econbiz.de/10012103481
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Leverage and asymmetric volatility : the firm-level evidence
Ericsson, Jan; Huang, Xiao; Mazzotta, Stefano - In: Journal of empirical finance 38 (2016), pp. 1-21
Persistent link: https://www.econbiz.de/10011663127
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Modelling changes in the unconditional variance of long stock return series
Amado, Cristina; Teräsvirta, Timo - In: Journal of empirical finance 25 (2014), pp. 15-35
Persistent link: https://www.econbiz.de/10010462094
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The decomposition of jump risks in individual stock returns
Xiao, Xiao; Chen Zhou - In: Journal of empirical finance 47 (2018), pp. 207-228
Persistent link: https://www.econbiz.de/10012103499
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Time-varying volatility and the power law distribution of stock returns
Warusawitharana, Missaka - In: Journal of empirical finance 49 (2018), pp. 123-141
Persistent link: https://www.econbiz.de/10012117726
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Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables
Nonejad, Nima - In: Journal of empirical finance 70 (2023), pp. 91-122
Persistent link: https://www.econbiz.de/10014423619
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Equity markets volatility clustering : a multiscale analysis of intraday and overnight returns
Zhao, Xiaojun; Zhang, Na; Zhang, Yali; Xu, Chao; Shang, … - In: Journal of empirical finance 77 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10014578531
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Dynamic cross-autocorrelation in stock returns
Kinnunen, Jyri - In: Journal of empirical finance 40 (2017), pp. 162-173
Persistent link: https://www.econbiz.de/10011744473
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Level shifts in stock returns driven by large shocks
Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of empirical finance 29 (2014), pp. 41-51
Persistent link: https://www.econbiz.de/10011300506