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Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density
Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - 2011
-price density estimation proposed by Ai͏̈t-Sahalia and Lo (1998). Bayes factors, Gaussian-component mixture density, Markov chain …
Persistent link: https://www.econbiz.de/10009406374
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Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?
Auer, Benjamin R.; Rottmann, Horst - In: Journal of economics & business 103 (2019), pp. 61-79
Persistent link: https://www.econbiz.de/10012595359
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Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong; Chen, Cathy W. S.; Asai, Manabu - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
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S&P 500 volatility, volatility regimes, and economic uncertainty
Adrangi, Bahram; Chatrath, Arjun; Raffiee, Kambiz - In: Bulletin of economic research 75 (2023) 4, pp. 1362-1387
Persistent link: https://www.econbiz.de/10014436045
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Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis : evidence from the Markov switching approach
Just, Małgorzata; Echaust, Krzysztof - In: Finance research letters 37 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012485169
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Regime-switching effect of COVID-19 pandemic on stock market index : evidence from Turkey as an emerging market example
Kartal, Mustafa Tevfik; Ayhan, Fatih; Kirikkaleli, Dervis - In: Macroeconomics and finance in emerging market economies 17 (2024) 1, pp. 189-206
Persistent link: https://www.econbiz.de/10014511855
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COVID-19 and stock returns : evidence from the Markov switching dependence approach
Bouteska, Ahmed; Sharif, Taimur; Abedin, Mohammad Zoynul - In: Research in international business and finance 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014279046
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Cross-sector comovements and policy impact in the COVID-19 stock market : a dynamic factor approach
Yang, Joy D. Xiuyao - In: Global finance journal 56 (2023), pp. 1-33
Persistent link: https://www.econbiz.de/10014478952
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Understanding the effects of COVID-19 on regime switching behaviour of Asian stock markets
Bagchi, Bhaskar; Ghosh, Raktim - In: International journal of monetary economics and finance … 16 (2023) 5, pp. 397-416
Persistent link: https://www.econbiz.de/10015066051
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Refining the asymctmetric impacts of oil price uncertainty on Chinese stock returns based on a semiparametric additive quantile regression analysis
Xie, Qichang; Wu, Haifeng; Ma, Yu - In: Energy economics 102 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013162433