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Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
Nakajima, Jouchi; Kunihama, Tsuyoshi; Omori, Yasuhiro; … - 2009
Persistent link: https://www.econbiz.de/10003908068
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Correlations between oil and stock markets : a wavelet-based approach
Martín-Barragán, Belén; Ramos, Sofia B.; Veiga, Helena - In: Economic modelling 50 (2015), pp. 212-227
Persistent link: https://www.econbiz.de/10011440530
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Stock market integration in Africa reconsidered : a wavelet multiple correlation and cross-correlation analysis
Rémy, Oyaya Jean - In: The empirical economics letters : a monthly … 15 (2016) 2, pp. 205-218
Persistent link: https://www.econbiz.de/10011580420
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Macroeconomic variables and long-term stock market performance : a panel ARDL cointegration approach for G7 countries
Humpe, Andreas; McMillan, David G. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7
cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We …
Persistent link: https://www.econbiz.de/10013179569
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Bank stock returns and economic growth in Malaysia : an empirical analysis of post-consolidation period
Lee, Kian-tek; Choong, Chee-keong - In: Global review of business and economic research 6 (2010) 1, pp. 13-22
Persistent link: https://www.econbiz.de/10008936024
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Monetary policy and dividend growth in Germany : a long-run structural modelling approach
Belke, Ansgar; Polleit, Thorsten - 2005
Persistent link: https://www.econbiz.de/10013439411
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Modeling and forecasting the co-movement of international yield curve drivers
Sprincenatu, Maria - 2019
Persistent link: https://www.econbiz.de/10012172917
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Empirical investigation of the causal relationships among herding, stock market returns, and illiquidity : evidence from major Asian markets
Qiao, Zhuo; Chiang, Thomas C.; Lin Tan - In: Review of Pacific Basin financial markets and policies 17 (2014) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10010402979
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Autocorrelation in an unobservable global trend : does it help to forecast market returns?
Peresetsky, Anatoly A.; Yakubov, Ruslan I. - In: International journal of computational economics and … 7 (2017) 1/2, pp. 152-169
Persistent link: https://www.econbiz.de/10011713553
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Wavelet analysis of Central European stock market behaviour during the crisis
Barunik, Jozef; Vacha, Lukas - 2009
In the paper we test for the different reactions of stock markets to the current financial crisis. We focus on Central European stock markets, namely the Czech, Polish and Hungarian ones, and compare them to the German and U.S. benchmark stock markets. Using wavelet analysis, we decompose a time...
Persistent link: https://www.econbiz.de/10003891213