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Long-run relationship between Islamic stock returns and macroeconomic variables : an application of the autoregressive distributed lag model

Majid, Muhammad Shabri Abdul; Rosylin Mohd. Yusof - In: Humanomics 25 (2009) 2, pp. 127-141

Persistent link: https://www.econbiz.de/10003903018

Consistent inference for predictive regressions in persistent economic systems

Andersen, Torben; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 224 (2021) 1, pp. 215-244

Persistent link: https://www.econbiz.de/10013275373

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

Dynamic cross-autocorrelation in stock returns

Kinnunen, Jyri - In: Journal of empirical finance 40 (2017), pp. 162-173

Persistent link: https://www.econbiz.de/10011744473

An empirical study on the lead-lag relationship between five-year Chinese government spot bonds and futures markets

Qin, Rong-Yuan; Heo, Ji-Hun - In: Journal of international trade & commerce 13 (2017) 1, pp. 49-67

Persistent link: https://www.econbiz.de/10011796998

The lead-lag relationship between volatility index futures and spot in the Korean Stock Market

Qin, Rong-Yuan; Heo, Ji-Hun - In: Journal of international trade & commerce 13 (2017) 4, pp. 139-159

Persistent link: https://www.econbiz.de/10011799640

Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios

Hernandez, Jose Arreola; Janabi, Mazin A. M. al; … - In: The journal of asset management 16 (2015) 7, pp. 467-483

Persistent link: https://www.econbiz.de/10011455734

Momentum, business cycle, and time-varying expected returns

Chordia, Tarun; Shivakumar, Lakshmanan - In: The journal of finance : the journal of the American … 57 (2002) 2, pp. 985-1019

Persistent link: https://www.econbiz.de/10001684740

An Analysis of Lead-Lag Relationship between Stock Returns Using Spectral Methods

Bhandari, Avishek - 2020

This paper examines the relationship between BSE Sensex and three other developed markets in the frequency domain. Cross-spectral methods, which are important in discovering and interpreting the relationships between economic variables, are used to analyze the relationships between different...

Persistent link: https://www.econbiz.de/10012855987

The dividend-price ratio does predict dividend growth : international evidence

Engsted, Tom; Pedersen, Thomas Q. - 2009

Persistent link: https://www.econbiz.de/10003865691

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