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Jump factor models in large cross‐sections
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456
of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …
Persistent link: https://www.econbiz.de/10012042424
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Are there night and day time effects in US equity index returns? : a robust econometric analysis
Monteiro, João D.; Manso, José Ramos Pires - In: International journal of economic perspectives : IJEP 11 (2017) 1, pp. 291-313
Persistent link: https://www.econbiz.de/10011762838
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Stochastic seasonality and daily financial time series
Andrade, Isabel C. (contributor) - 1996
Persistent link: https://www.econbiz.de/10000563148
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Interplay between distributional and temporal dependence : an empirical study with high-frequency asset returns
Bingham, Nick H.; Schmidt, Rafael - In: From stochastic calculus to mathematical finance : the …, (pp. 69-90). 2006
Persistent link: https://www.econbiz.de/10003287150
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Conditional correlations and volatility spillovers between crude oil and stock index returns
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669344
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Conditional correlations and volatility spillovers between crude oil and stock index returns
Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987330
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Long memory analysis : an empirical investigation
Nazarian, Rafik; Naderi, Esmaeil; Gandali Alikhani, Nadiya - In: International journal of economics and financial issues … 4 (2014) 1, pp. 16-26
Persistent link: https://www.econbiz.de/10010519739
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Predictive ability of three different estimates of "cay" to excess stock returns : a comparative study for South Africa and USA
Emara, Noha - In: European research studies : an international … 17 (2014) 1, pp. 3-17
Persistent link: https://www.econbiz.de/10011383243
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Dynamic mixture models for financial time series
Haas, Markus - 2004 - 1. Aufl.
Inaugural -Dissertation zur Erlangung des Grades eines Doktors der Wirtschafts -und Sozialwissenschaften der Wirtschafts -und Sozialwissenschaftlichen Fakultät der Christian -Albrechts -Universität zu Kiel The objective of this study is the development and application of models for financial...
Persistent link: https://www.econbiz.de/10002452594