Narrow search
Showing 1 - 10 of 727
Cover Image
Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift
Li, Shaoyu; Zheng, Tingguo - In: The North American journal of economics and finance : a … 40 (2017), pp. 200-221
Persistent link: https://www.econbiz.de/10011878816
Cover Image
Dynamic time series momentum of cryptocurrencies
Borgards, Oliver - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012822211
Cover Image
Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility
Nonejad, Nima - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-25
Persistent link: https://www.econbiz.de/10013534202
Cover Image
Efficient modelling and forecasting with range based volatility models and its application
Kok Haur Ng; Peiris, Shelton; Chan, Jennifer So-kuen; … - In: The North American journal of economics and finance : a … 42 (2017), pp. 448-460
Persistent link: https://www.econbiz.de/10011938162
Cover Image
Forecasting oil futures market volatility in a financialized world : why speculative activities matter
Chan, Kam C.; Chan, Leo H.; Nguyen, Chi M. - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012667181
Cover Image
Jump Interdependencies : stochastic linkages among international stock markets
Kshatriya, Saranya; Prasanna, Krishna - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012822184
Cover Image
Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu; Chen, Ting-Fu - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
Cover Image
Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation
Li, Leon - In: The North American journal of economics and finance : a … 40 (2017), pp. 116-135
Persistent link: https://www.econbiz.de/10011878799
Cover Image
Can Gaussian factor models of commodity prices capture the financialization phenomenon?
Aiube, Fernando Antônio Lucena; Faquieri, Winicius Botelho - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-10
Persistent link: https://www.econbiz.de/10012203674
Cover Image
The exchange rate and macroeconomic determinants : time-varying transitional dynamics
Yuan, Chunming - In: The North American journal of economics and finance : a … 22 (2011) 2, pp. 197-220
Persistent link: https://www.econbiz.de/10009267527