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Copula model estimation and test of inventory portfolio pledge rate

Zhou, Li; Dong, Jing - In: International journal of business and economics … 3 (2014) 4, pp. 150-154

Persistent link: https://www.econbiz.de/10010494128

A novel heavy tail distribution of logarithmic returns of cryptocurrencies

Quang Van Tran; Kukal, Jaromir - In: Finance research letters 47 (2022) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10013457574

The relationship between stock returns and foreign exchange rates in China using smooth regime-switching approach

Wang, Chien Jen; Wu, Po-Chin; Lin, Huei-Hsieh - In: Investment management and financial innovations 10 (2013) 3, pp. 46-54

Persistent link: https://www.econbiz.de/10010201510

Duration dependence and mean reversion : an attempt of identification in Tunisian stock market

Bejaoui, Azza; Karaa, Adel; Mahat, Emna - In: The journal of applied business research 31 (2015) 1, pp. 185-196

Persistent link: https://www.econbiz.de/10010502645

Does idiosyncratic volatility matter in emerging markets? : evidence from China

Nartea, Gilbert V.; Wu, Ji; Liu, Zhentao - In: Journal of international financial markets, … 27 (2013), pp. 137-160

Persistent link: https://www.econbiz.de/10010411748

Bond risk premiums at the zero lower bound

Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019

Persistent link: https://www.econbiz.de/10012063987

Volatility model choice for sub-Saharan frontier equity markets : a Markov regime switching Bayesian approach

Korkpoe, Carl Hope; Howard, Nathaniel - In: Emerging Markets Journal : EMAJ 9 (2019) 1, pp. 69-79

Persistent link: https://www.econbiz.de/10012266269

A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects

Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10012054880

Bond risk premiums at the zero lower bound

Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019

This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but...

Persistent link: https://www.econbiz.de/10012181201

Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing

Hartman, Brian; Groendyke, Chris; Engler, David - In: Scandinavian actuarial journal 2020 (2020) 2, pp. 152-171

Persistent link: https://www.econbiz.de/10012195031