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Stock return autocorrelations revisited : a quantile regression approach
Baur, Dirk G.; Dimpfl, Thomas; Jung, Robert - In: Journal of empirical finance 19 (2012) 2, pp. 254-265
Persistent link: https://www.econbiz.de/10009615707
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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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Industry momentum strategies and autocorrelations in stock returns
Pan, Ming-Shiun; Liano, Kartono; Huang, Gow-Cheng - In: Journal of empirical finance 11 (2004) 2, pp. 185-202
Persistent link: https://www.econbiz.de/10001981299
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Autocorrelation and partial price adjustment
Anderson, Robert M.; Eom, Kyong Shik; Hahn, Sang Buhm; … - In: Journal of empirical finance 24 (2013), pp. 78-93
Persistent link: https://www.econbiz.de/10010371989
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Transaction duration and asymmetric price impact of trades : evidence from Australia
Yang, Joey Wenling - In: Journal of empirical finance 18 (2011) 1, pp. 91-102
Persistent link: https://www.econbiz.de/10009301172
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Value at risk forecasts by extreme value models in a conditional duration framework
Herrera, Rodrigo; Schipp, Bernhard - In: Journal of empirical finance 23 (2013), pp. 33-47
Persistent link: https://www.econbiz.de/10010221789
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On the intraday periodicity duration adjustment of high-frequency data
Wu, Zhengxiao - In: Journal of empirical finance 19 (2012) 2, pp. 282-291
Persistent link: https://www.econbiz.de/10009615704
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The predictive density simulation of the yield curve with a zero lower bound
Kang, Kyu Ho - In: Journal of empirical finance 33 (2015), pp. 51-66
Persistent link: https://www.econbiz.de/10011556848
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Investor learning and mutual fund family
Zhang, Zhichao; Ding, Li; Zhou, Si - In: Journal of empirical finance 26 (2014), pp. 171-188
Persistent link: https://www.econbiz.de/10010471990
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The time-varying asymmetry of exchange rate returns : a stochastic volatility : stochastic skewness model
Iseringhausen, Martin - In: Journal of empirical finance 58 (2020), pp. 275-292
Persistent link: https://www.econbiz.de/10012430700