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Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models
Idier, Julien - In: The European journal of finance 17 (2011) 1/2, pp. 27-48
Persistent link: https://www.econbiz.de/10009155466
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How candlestick features affect the performance of volatility forecasts : evidence from the stock market
Su, Jung-bin - In: The European journal of finance 21 (2015) 4/6, pp. 486-506
Persistent link: https://www.econbiz.de/10010528953
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Expected profitability, the 52-week high and the idiosyncratic volatility puzzle
Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos - In: The European journal of finance 29 (2023) 14, pp. 1621-1648
Persistent link: https://www.econbiz.de/10014387954
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The role of multivariate skew-student density in the estimation of stock market crashes
Wu, Lei; Meng, Qingbin; Velazquez, Julio C. - In: The European journal of finance 21 (2015) 13/15, pp. 1144-1160
Persistent link: https://www.econbiz.de/10011419786
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Multivariate asset return prediction with mixture models
Paolella, Marc S. - In: The European journal of finance 21 (2015) 13/15, pp. 1214-1252
Persistent link: https://www.econbiz.de/10011419842
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Terror attacks and stock-market fluctuations : evidence based on a nonparametric causality-in-quantiles test for the G7 countries
Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian; … - In: The European journal of finance 24 (2018) 4/6, pp. 333-346
Persistent link: https://www.econbiz.de/10012244323
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Stock market contagion in Central and Eastern Europe : unexpected volatility and extreme co-exceedance
Horváth, Roman; Lyócsa, Štefan; Baumöhl, Eduard - In: The European journal of finance 24 (2018) 4/6, pp. 391-412
Persistent link: https://www.econbiz.de/10012244328
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Cross-sectional stock return predictability in China
Cakici, Nusret; Chan, Kalok; Topyan, Kudret - In: The European journal of finance 23 (2017) 7/9, pp. 581-605
Persistent link: https://www.econbiz.de/10011740186
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Tail risks and forecastability of stock returns of advanced economies : evidence from centuries of data
Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula Ephraim - In: The European journal of finance 29 (2023) 4, pp. 466-481
Persistent link: https://www.econbiz.de/10014322538
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Historical geopolitical risk and the behaviour of stock returns in advanced economies
Salisu, Afees A.; Lasisi, Lukman; Tchankam, Jean Paul - In: The European journal of finance 28 (2022) 9, pp. 889-906
In this study, we investigate the impact of global geopolitical risk (GPR) of different forms on the economies of advanced countries (G7 and Switzerland). We construct a predictive model, following the approach of Lewellen (2004. "Predicting returns with financial ratios." Journal of Financial...
Persistent link: https://www.econbiz.de/10013373348