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Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: The North American journal of economics and finance : a … 25 (2013), pp. 116-138
Persistent link: https://www.econbiz.de/10009777824
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Market risks that change domestic diversification benefits
Sarwar, Ghulam - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-10
Persistent link: https://www.econbiz.de/10014225809
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Modeling dynamic conditional correlations with leverage effects and volatility spillover effects : evidence from the Chinese and US stock markets affected by the recent trade frict...
Pan, Qunxing; Mei, Xiaowen; Gao, Tianqing - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013413579
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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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Returns spillovers between tourism ETFs
Shu-Lien, Chang; Yun-Huan, Lee - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-15
Persistent link: https://www.econbiz.de/10012200874
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Impact of leveraged ETF trading on the market quality of component stocks
Li, Mingsheng; Zhao, Xin - In: The North American journal of economics and finance : a … 28 (2014), pp. 90-108
Persistent link: https://www.econbiz.de/10010461174
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Predicting volatility using the Markov-switching multifractal model : evidence from S&P 100 index and equity options
Chuang, Wen-i; Huang, Teng-ching; Lin, Bing-huei - In: The North American journal of economics and finance : a … 25 (2013), pp. 168-187
Persistent link: https://www.econbiz.de/10009779311
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Risk-neutral skewness and market returns : the role of institutional investor sentiment in the futures market
Chen, Chen; Lee, Hsiu-Chuan; Liao, Tzu-Hsiang - In: The North American journal of economics and finance : a … 35 (2016), pp. 203-225
Persistent link: https://www.econbiz.de/10011672315
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The RP-PCA factors and stock return predictability : an aligned approach
Shi, Qi - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014246878
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Skew index : descriptive analysis, predictive power, and short-term forecast
Mora-Valencia, Andrés; Rodríguez-Raga, Santiago; … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012821304