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Overnight stock returns, intraday returns, and firm-specific investor sentiment
Kim, Byungoh; Suh, Sangwon - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012667359
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The fluctuation correlation between investor sentiment and stock index using VMD-LSTM : evidence from China stock market
Gao, Zhenbin; Zhang, Jie - In: The North American journal of economics and finance : a … 66 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014483735
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Multiperiod portfolio allocation : a study of volatility clustering, non-normalities and predictable returns
Simonato, Jean-Guy; Denault, Michel - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014486271
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The COVID-19 pandemic uncertainty, investor sentiment, and global equity markets : evidence from the time-frequency co-movements
Dash, Saumya Ranjan; Maitra, Debasish - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013534037
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Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics : evidence from the Chinese stock market
Shi, Huai-Long; Zhou, Wei-Xing - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013186512
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VIX forecasting and variance risk premium : a new GARCH approach
Liu, Qiang; Guo, Shuxin; Qiao, Gaoxiu - In: The North American journal of economics and finance : a … 34 (2015), pp. 314-322
Persistent link: https://www.econbiz.de/10011540131
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Efficient predictability of stock return volatility : the role of stock market implied volatility
Dai, Zhifeng; Zhou, Huiting; Wen, Fenghua; He, Shaoyi - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012654913
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Forecasting volatility via stock return, range, trading volume and spillover effects : the case of Brazil
Asai, Manabu; Brugal, Ivan - In: The North American journal of economics and finance : a … 25 (2013), pp. 202-213
Persistent link: https://www.econbiz.de/10009779296
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Time-varying variance scaling : application of the fractionally integrated ARMA model
Chen, An-sing; Chang, Hung-Chou; Cheng, Lee-Young - In: The North American journal of economics and finance : a … 47 (2019), pp. 1-12
Persistent link: https://www.econbiz.de/10012117796
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The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom : evidence from a nonparametric causality-in-quantiles test using over...
Gupta, Rangan; Risse, Marian; Volkman, David A.; Wohar, … - In: The North American journal of economics and finance : a … 47 (2019), pp. 391-405
Persistent link: https://www.econbiz.de/10012117890