Similar Search Results

Statistical inference in multifractal random walk models for financial time series

Sattarhoff, Cristina - 2011

Persistent link: https://www.econbiz.de/10008990625

Cross-country evidence on the relation between equity prices and the current account

Berg, Tim Oliver - 2009

This paper explores the relationship between equity prices and the current account for 17 industrialized countries in the period 1980 - 2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those originating from monetary policy and exchange rates. While...

Persistent link: https://www.econbiz.de/10010384487

Parameter estimation and forecasting for multiplicative lognormal cascades

Leövey, Andrés E.; Lux, Thomas - 2011

foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial … Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and …

Persistent link: https://www.econbiz.de/10009389845

Modeling the dynamics of a financial index after a crash

Lillo, Fabrizio; Mantegna, Rosario N. - In: The complex dynamics of economic interaction : essays …, (pp. 143-151). 2004

Persistent link: https://www.econbiz.de/10002415038

The application of multivariate GARCH models to turbulent financial markets

Zahnd, Edy - 2002 - Als Ms. gedr.

Persistent link: https://www.econbiz.de/10001659873

Nonparametric modelling of financial time series

Heid, Frank - 1998

Persistent link: https://www.econbiz.de/10000989214

World energy intensity revisited : a cluster analysis

Yu, Yihua; Zhang, Yonghui; Song, Feng - In: Applied economics letters 22 (2015) 13/15, pp. 1158-1169

Persistent link: https://www.econbiz.de/10011312151

Gold, oil, and stocks

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10010407524

Nonparametric modelling of financial time series

Heid, Frank - 1998

Persistent link: https://www.econbiz.de/10000668367

Nonparametric modeling in financial time series

Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - In: Handbook of financial time series, (pp. 927-952). 2009

Persistent link: https://www.econbiz.de/10003834268

1
2
3
4
5
6
7
8
9
10
Next
Last