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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

Jump regressions

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195

Persistent link: https://www.econbiz.de/10011738476

Can volume predict Bitcoin returns and volatility? : a quantiles-based approach

Balcilar, Mehmet; Bouri, Elie; Gupta, Rangan; Roubaud, David - In: Economic modelling 64 (2017), pp. 74-81

Persistent link: https://www.econbiz.de/10011756479

Does country risks predict stock returns and volatility? : evidence from a nonparametric approach

Suleman, Tahir; Gupta, Rangan; Balcilar, Mehmet - In: Research in international business and finance 42 (2017), pp. 1173-1195

Persistent link: https://www.econbiz.de/10011760918

Conditional quantiles and tail dependence in the volatilities of gold and silver

Bouri, Elie; Jalkh, Naji - In: International economics : a journal published by CEPII … 157 (2019), pp. 117-133

Persistent link: https://www.econbiz.de/10012318694

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - In: Econometrics : open access journal 6 (2018) 2, pp. 1-25

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

Persistent link: https://www.econbiz.de/10011823308

Time-varying rare disaster risks, oil returns and volatility

Demirer, Rıza; Gupta, Rangan; Suleman, Tahir; Wohar, … - In: Energy economics 75 (2018), pp. 239-248

Persistent link: https://www.econbiz.de/10011974013

Adaptive estimation of continuous-time regression models using high-frequency data

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Journal of econometrics 200 (2017) 1, pp. 36-47

Persistent link: https://www.econbiz.de/10011897689

Equity markets volatility clustering : a multiscale analysis of intraday and overnight returns

Zhao, Xiaojun; Zhang, Na; Zhang, Yali; Xu, Chao; Shang, … - In: Journal of empirical finance 77 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014578531

Intraday cross-sectional distributions of systematic risk

Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418

Persistent link: https://www.econbiz.de/10014471397