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Jump factor models in large cross‐sections
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456
of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …
Persistent link: https://www.econbiz.de/10012042424
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Topics in applied time series analysis and panel econometrics
Gorenflo, Marcel - 2013
Persistent link: https://www.econbiz.de/10009744295
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Cross-country evidence on the relation between equity prices and the current account
Berg, Tim Oliver - 2009
the period 1980 - 2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those … fluctuations, equity prices, panel vector autoregression …
Persistent link: https://www.econbiz.de/10010384487
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Revisiting profit persistence and the stock market in Japan
Tsoulfidis, Lefteris; Alexiou, Constantinos; … - In: Structural change and economic dynamics : SC+ED 33 (2015), pp. 10-24
Persistent link: https://www.econbiz.de/10011563961
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Testing for profit persistence of listed manufacturing companies in Istanbul Stock Exchange
Zeren, Feyyaz; Öztürk, Erkan - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 61 (2015) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10011347288
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Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index
Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613
Persistent link: https://www.econbiz.de/10011485602
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Testing for predictability in panels of any time series dimension
Westerlund, Joakim; Narayan, Paresh Kumar - In: International journal of forecasting 32 (2016) 4, pp. 1162-1177
Persistent link: https://www.econbiz.de/10011622121
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Impact of macroeconomic variables on Islamic and conventional stock market returns : a panel data approach
Marashdeh, Hazem; Ashraf, Sania; Muhammad, Naeem - In: Global business & economics review 23 (2020) 4, pp. 390-411
Persistent link: https://www.econbiz.de/10012316243
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Investor beliefs and their impact on financial markets
Hartmann, Carolin - 2021
Persistent link: https://www.econbiz.de/10013343328
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The mediating effect of trading volume on the relationship between investor sentiment and the return of tech companies
Hoekstra, Jesse; Güler, Derya - In: The journal of behavioral finance : a publication of … 25 (2024) 3, pp. 356-373
Persistent link: https://www.econbiz.de/10015049548