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Are feedback factors important in modeling financial data?

Veiga, Helena - In: International review of finance 7 (2007) 3/4, pp. 105-118

Persistent link: https://www.econbiz.de/10003626759

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

Asymmetry, realised volatility and stock return risk estimates

Grané, Aurea; Veiga, Helena - In: Portuguese economic journal 11 (2012) 2, pp. 147-164

Persistent link: https://www.econbiz.de/10009581964

Stock Market Return Predictability Before and After the Dodd-Frank Act

Casas, Isabel - 2020

We analyze the stock market return predictability for three different periods. We evaluate the conditional variance (CV) and the variance risk premium (VRP) as predictors of stock market returns for which we are using well-established versions of the heterogeneous auto-regressive (HAR) model and...

Persistent link: https://www.econbiz.de/10012832030

Data cloning estimation for asymmetric stochastic volatility models

Bermudez, P. de Zea; Marín, J. Miguel; Veiga, Helena - In: Econometric reviews 39 (2020) 10, pp. 1057-1074

Persistent link: https://www.econbiz.de/10012406209

Limited attention, salience of information and stock market activity

Ramos, Sofia B.; Latoeiro, Pedro; Veiga, Helena - In: Economic modelling 87 (2020), pp. 92-108

Persistent link: https://www.econbiz.de/10012416402

Do investors price industry risk? : evidence from the cross-section of the oil industry

Ramos, Sofia B.; Taamouti, Abderrahim; Veiga, Helena; … - In: The journal of energy markets 10 (2017) 1, pp. 79-108

Persistent link: https://www.econbiz.de/10011999412