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Term structure persistence
Abbritti, Mirko; Gil-Alaña, Luis A.; Lovcha, Yuliya; … - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 331-352
Persistent link: https://www.econbiz.de/10011589005
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Term premium in a fractionally cointegrated yield curve
Abbritti, Mirko; Carcel, Hector; Gil-Alaña, Luis A.; … - In: Journal of banking & finance 149 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014462435
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Non-linearities and persistence in US long-run interest rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Applied economics letters 29 (2022) 4, pp. 366-370
Persistent link: https://www.econbiz.de/10012803550
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Re-examination of international bond market dependence : evidence from a pair copula approach
Abakah, Emmanuel Joel Aikins; Addo, Emmanuel; … - In: International review of financial analysis 74 (2021), pp. 1-35
Persistent link: https://www.econbiz.de/10012803932
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The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - In: The quarterly review of economics and finance : journal … 86 (2022), pp. 118-123
Persistent link: https://www.econbiz.de/10014249042
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Climate risk exposure and the cross-section of Chinese stock returns
Zhang, Yaojie; He, Mengxi; Liao, Cunfei; Wang, Yudong - In: Finance research letters 55 (2023) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10014473512
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Forecasting the equity premium using weighted regressions : Does the jump variation help?
Zhang, Zhikai; Zhang, Yaojie; Wang, Yudong - In: Empirical economics : a quarterly journal of the … 66 (2024) 5, pp. 2049-2082
Persistent link: https://www.econbiz.de/10014520108
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Geopolitical risk exposure and stock returns : evidence from China
Zhang, Yaojie; Zhang, Yuxuan; Ren, Xinrui; Jin, Meichen - In: Finance research letters 64 (2024), pp. 1-9
Persistent link: https://www.econbiz.de/10014531770
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Forecasting the U.S. stock volatility : an aligned jump index from G7 stock markets
Ma, Feng; Wahab, M. I. M.; Zhang, Yaojie - In: Pacific-Basin finance journal 54 (2019), pp. 132-146
Persistent link: https://www.econbiz.de/10012133635
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Intraday momentum and stock return predictability : evidence from China
Zhang, Yaojie; Ma, Feng; Zhu, Bo - In: Economic modelling 76 (2019), pp. 319-329
Persistent link: https://www.econbiz.de/10012198353