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Long-term dependency structure and structural breaks : evidence from the U.S. sector returns and volatility
Ngene, Geoffrey; Mungai, Ann Nduati; Lynch, Allen K. - In: Review of Pacific Basin financial markets and policies 21 (2018) 2, pp. 1-38
Persistent link: https://www.econbiz.de/10011865593
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Structural breaks and volatility spillovers : the case of the US and Canadian Stock Markets
Tsuji, Chikashi - In: Journal of management research 11 (2019) 2, pp. 30-44
Persistent link: https://www.econbiz.de/10011993943
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Economic and financial crises and the predictability of US stock returns
Hartmann, Daniel; Kempa, Bernd; Pierdzioch, Christian - In: Journal of empirical finance 15 (2008) 3, pp. 468-480
Persistent link: https://www.econbiz.de/10003759550
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Structural breaks and predictive regression models of aggregate US stock returns
Rapach, David E.; Wohar, Mark E. - In: Journal of financial econometrics : official journal of … 4 (2006) 2, pp. 238-274
Persistent link: https://www.econbiz.de/10003318450
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Autocorrelation, structural breaks and the predicitve ability of dividend yield
Chen, An-sing; Zhang, Tai-wei - In: Applied economics 39 (2007) 4/6, pp. 645-652
Persistent link: https://www.econbiz.de/10003461974
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Structural breaks and common factors in the volatiliy of the Fama-French factor portfolios
Morana, Claudio; Beltratti, Andrea - In: Applied financial economics 16 (2006) 14, pp. 1059-1073
Persistent link: https://www.econbiz.de/10003377864
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Volatility spillovers between the US and China stock markets : structural break test with symmetric and asymmetric GARCH approaches
Moon, Gyu-hyen; Yu, Wei-choun - In: Global economic review 39 (2010) 2, pp. 129-149
Persistent link: https://www.econbiz.de/10003997793
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Stock returns and the short-run predictability of health expenditure : some empirical evidence
Wang, Zijun - In: International journal of forecasting 25 (2009) 3, pp. 587-601
Persistent link: https://www.econbiz.de/10003877647
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Assessing predictability and structural change : econometric analyses with financial applications
Deng, Ai - 2006
Persistent link: https://www.econbiz.de/10003965303
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Are U.S. stock prices mean reverting? : some new tests using fractional integration models with overlapping data and structural breaks
Clark, Steven P.; Coggin, T. Daniel - In: Empirical economics : a journal of the Institute for … 40 (2011) 2, pp. 373-391
Persistent link: https://www.econbiz.de/10008987464