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Beyond the random walk : a guide to stock market anomalies and low risk investing
Singal, Vijay - 2006 - 1. issued as an Oxford pbk.
Persistent link: https://www.econbiz.de/10003982793
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Beyond the random walk : a guide to stock market anomalies and low risk investing
Singal, Vijay - 2004
Persistent link: https://www.econbiz.de/10001783632
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Holidays, weekends and range-based volatility
Díaz-Mendoza, Ana-Carmen; Alañón Pardo, Ángel - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012656917
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Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks
Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22
-linearity, and multiple seasonality or time-varying correlations. Our study indicates that the joint dual long-memory process can … conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …
Persistent link: https://www.econbiz.de/10013272684
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The January effect and other seasonal anomalies : a common theoretical framework
Cataldo, Anthony J.; Savage, Arline A. - 2000
Persistent link: https://www.econbiz.de/10001571265
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Machine learning portfolio allocation
Pinelis, Michael; Ruppert, David - In: The Journal of finance and data science : JFDS 8 (2022), pp. 35-54
the market index and risk-free asset. Optimal portfolio rules for time-varying expected returns and volatility are …
Persistent link: https://www.econbiz.de/10014433682
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Examination of seasonal volatility in HICP for baltic region countries : non-parametric test versus forecasting experiment
Lenart, Łukas - In: Central European journal of economic modelling and … 9 (2017) 1, pp. 29-67
Persistent link: https://www.econbiz.de/10011780589
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Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
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Stochastic Seasonality, Contemporaneous Inference, and Forecasting in the Presence of Volatile Weather
Nickelsburg, Jerry - 2017
Contemporaneous inference from economic data releases for policy and business decisions has become increasingly relevant in the high pace of the information age. The released data are typically filtered to eliminate seasonal patterns to reveal underlying trends and cycles. The nature of economic...
Persistent link: https://www.econbiz.de/10012972987
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Periodic stochastic volatility and fat tails
Tsiakas, Ilias - In: Journal of financial econometrics : official journal of … 4 (2006) 1, pp. 90-135
Persistent link: https://www.econbiz.de/10003313346