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Leverage and volatility feedback effects in high-frequency data
Bollerslev, Tim; Litvinova, Julia; Tauchen, George Eugene - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 353-384
Persistent link: https://www.econbiz.de/10003354051
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Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?
Kim, Yunmi; Nelson, Charles R. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 307-328
Persistent link: https://www.econbiz.de/10010351545
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Identifying asymmetric comovements of international stock market returns
Li, Fuchun - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 507-543
Persistent link: https://www.econbiz.de/10010391948
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The impact of shocks on higher moments
Jondeau, Eric; Rockinger, Michael - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 77-105
Persistent link: https://www.econbiz.de/10003826483
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Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.; Moura, Guilherme Valle; Nogales, … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
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Structural volatility impulse response function and asymptotic inference
Liu, Xiaochun - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 316-339
Persistent link: https://www.econbiz.de/10011987769
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Jump spillover in international equity markets
Asgharian, Hossein; Bengtsson, Christoffer - In: Journal of financial econometrics : official journal of … 4 (2006) 2, pp. 167-203
Persistent link: https://www.econbiz.de/10003318429
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On the properties of regression test of stock returns predictability using dividend-price ratios
Moon, Seongman; Velasco, Carlos - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 151-173
Persistent link: https://www.econbiz.de/10010233601
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Testing for speculative bubbles in stock markets : a comparison of alternative methods
Homm, Ulrich; Breitung, Jörg - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 198-231
Persistent link: https://www.econbiz.de/10009519705
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On the importance of time variability in higher moments for asset allocation
Jondeau, Eric; Rockinger, Michael - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 84-123
Persistent link: https://www.econbiz.de/10009519710