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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
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Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip - In: The journal of prediction markets 14 (2020) 1, pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
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Time-varying NoVaS versus GARCH : point prediction, volatility estimation and prediction intervals
Chen, Jie; Politis, Dimitris N. - In: Journal of time series econometrics 12 (2020) 2, pp. 1-36
Persistent link: https://www.econbiz.de/10012300649
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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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Macroeconomic variables and stock returns in Bangladesh : An empirical analysis in the presence of structural breaks
Islam, K. M. Zahidul; Akter, Yeasmin; Alam, Md. Nahid - In: Journal of economic development 45 (2020) 2, pp. 115-141
Persistent link: https://www.econbiz.de/10012602387
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Stock earnings and bond yields in the US 1871-2017 : the story of a changing relationship
Zakamulin, Valeriy; Hunnes, John A. - In: The quarterly review of economics and finance : journal … 79 (2021), pp. 182-197
Persistent link: https://www.econbiz.de/10012655036
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Analyzing nexus between crude oil, gold, dollar and equity markets with structural break : ARDL evidence from India
Saji, T. G.; Joshith, V. P.; Binoy, T. A.; Sravana, K. - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 3, pp. 572-581
Persistent link: https://www.econbiz.de/10014533474
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The volatility of Romanian exchange rate : a GARCH approach
Pelinescu, Elena; Diaconaşu, Delia-Elena - In: Review of economics & finance 5 (2015) 4, pp. 92-99
Persistent link: https://www.econbiz.de/10011411168
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Trend breaks and the persistence of closed‐end fund discounts
Durmaz, Nazif; Kim, Hyeongwoo; Lee, Hyejin; Sun, Yanfei - 2023
Persistent link: https://www.econbiz.de/10014514160
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Trend breaks and the persistence of closed‐end mutual fund discounts
Durmaz, Nazif; Kim, Hyeongwoo; Lee, Hyejin; Sun, Yanfei - 2023
Persistent link: https://www.econbiz.de/10014249739