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The impact of macroeconomic factors on the US Stock Exchange
Süslü, Cemil - In: International journal of sustainable economies … 11 (2022) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10014290717
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Fractional integration in daily stock market indices at Jordan's Amman stock exchange
Al-Shboul, Mohammad; Anwar, Sajid - In: The North American journal of economics and finance : a … 37 (2016), pp. 16-37
Persistent link: https://www.econbiz.de/10011672875
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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …
Persistent link: https://www.econbiz.de/10010461231
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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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Long memory behavior in the returns of Pakistan Stock Market : ARFIMA-FIGARCH models
Turkyilmaz, Serpil; Balibey, Mesut - In: International journal of economics and financial issues … 4 (2014) 2, pp. 400-410
Persistent link: https://www.econbiz.de/10010520466
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Risk and return : long-run relations, fractional cointegration, and return predictability
Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - In: Journal of financial economics 108 (2013) 2, pp. 409-424
Persistent link: https://www.econbiz.de/10009749332
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From oil to stock markets
Guesmi, Khaled; Boubaker, Heni; Lai, Van Son - In: Journal of economic integration 31 (2016) 1, pp. 103-133
Persistent link: https://www.econbiz.de/10011451684
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Oil and stock returns : evidence from European industrial sector indices in a time-varying environment
Degiannakisa, Stavros; Filis, George; Floros, Christos - In: Journal of international financial markets, … 26 (2013), pp. 175-191
Persistent link: https://www.econbiz.de/10010234924
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What affects the relationship between oil prices and the U.S. stock market? : a mixed-data sampling copula approach
Gong, Yuting; Bu, Ruijun; Chen, Qiang - In: Journal of financial econometrics 20 (2022) 2, pp. 253-277
Persistent link: https://www.econbiz.de/10013187978
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Essays on financial time series with a focus on high-frequency data
Becker, Janis - 2020
Persistent link: https://www.econbiz.de/10012225306