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Bourghelle, David; Jawadi, Fredj; Rozin, Philippe - In: Journal of economic behavior & organization : JEBO 196 (2022), pp. 294-306

Persistent link: https://www.econbiz.de/10013375283

Mean reversion in US and international short rates

Christiansen, Charlotte - In: The North American journal of economics and finance : a … 21 (2010) 3, pp. 286-296

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Can the Lasota (1977)'s model compete with the Mackey-Glass (1977)'s model in nonlinear modelling of financial time series?

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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

Persistent link: https://www.econbiz.de/10011303289

Bootstrapped nonlinear impulse-response analysis : the FTSE100 (UK) and the NDX100 (US) indices 2012-2021

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Nonlinear and time-varying risk premia

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Downside risk in the oil market : does it affect stock returns in China?

Su, Zhi; Mo, Xuan; Yin, Libo - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 11, pp. 3139-3152

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Study on the nonlinear and chaotic behavior of exchange traded funds listed in Hong Kong Stock Exchanges

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Conventional and Islamic stock market liquidity and volatility during COVID 19

Jawadi, Fredj; Cheffou, Abdoulkarim Idi; Jawadi, Nabila; … - In: Applied economics 53 (2021) 60, pp. 6944-6963

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Multifrequency network for SADC exchange rate markets using EEMD-based DCCA

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