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Value at risk and return in Chinese and the US stock markets : double long memory and fractional cointegration

Tan, Zhengxun; Xiao, Binuo; Huang, Yilong; Zhou, Li - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012821412

What affects the relationship between oil prices and the U.S. stock market? : a mixed-data sampling copula approach

Gong, Yuting; Bu, Ruijun; Chen, Qiang - In: Journal of financial econometrics 20 (2022) 2, pp. 253-277

Persistent link: https://www.econbiz.de/10013187978

Impact of exchange rate fluctuations on US stock market returns

Bhargava, Vivek; Konku, Daniel - In: Managerial finance 49 (2023) 10, pp. 1535-1557

Persistent link: https://www.econbiz.de/10014428700

Range-based volatility estimation and forecasting

Benčík, Daniel - 2014

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …

Persistent link: https://www.econbiz.de/10010461231

Consumption, aggregate wealth and expected stock returns : an FCVAR approach

Quineche, Ricardo - In: Journal of time series econometrics 13 (2021) 1, pp. 21-42

Persistent link: https://www.econbiz.de/10012437824

Financial time series: methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

Persistent link: https://www.econbiz.de/10012304649