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Markov-Switching Mean Reversio...
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Belke, Ansgar
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date (oldest first)
1
Statistical evidence on the mean reversion of interest rates
End, Jan-Willem van den
-
2011
Persistent link: https://www.econbiz.de/10008903823
Saved in:
2
Regime switching in interest rates
Ang, Andrew
;
Bekaert, Geert
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
2
,
pp. 163-182
Persistent link: https://www.econbiz.de/10001660371
Saved in:
3
Markov-switching and stochastic volatility diffusion models of short-term interest rates
Smith, Daniel R.
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
2
,
pp. 183-197
Persistent link: https://www.econbiz.de/10001660372
Saved in:
4
Markov-switching and stochastic volatility diffusion models of short-term interest rates
Smith, Daniel R.
-
2000
Persistent link: https://www.econbiz.de/10001487318
Saved in:
5
Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets : an Empirical Study in China and the U.S.
Wang, Peiwan
;
Zong, Lu
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012665486
Saved in:
6
Mean variance under stress-ten years of portfolio optimizations 2001-2011
Tarrazo, Manuel
- In:
Quarterly journal of finance & accounting : QJFA
56
(
2018
)
1/2
,
pp. 91-148
Persistent link: https://www.econbiz.de/10011874394
Saved in:
7
On the
estimation
and comparison of short-rate models using the generalised method of moments
Faff, Robert W.
;
Gray, Philip K.
- In:
Journal of banking & finance
30
(
2006
)
11
,
pp. 3131-3146
Persistent link: https://www.econbiz.de/10003386438
Saved in:
8
Fractional integration and cointegration in US financial time series data
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
- In:
Empirical economics : a journal of the Institute for …
47
(
2014
)
4
,
pp. 1389-1410
Persistent link: https://www.econbiz.de/10010461103
Saved in:
9
A slowly evolving mean of the price-to-dividend ratio, its economic influences and predictive power for stock returns
Herwartz, Helmut
;
Rengel, Malte
;
Fang, Xu
- In:
An analysis of long-term influences on financial …
,
(pp. 7-41)
.
2014
Persistent link: https://www.econbiz.de/10010480408
Saved in:
10
Essays on reversal and momentum patterns in stock markets : evidence from the U.S. and Europe
Hühn, Hannah Lea
-
2015
Persistent link: https://www.econbiz.de/10011442858
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