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Identifying time variability in stock and interes rate dependence
Stein, Michael; Islami, Mevlud; Lindemann, Jens - In: Investment management and financial innovations 10 (2013) 2, pp. 73-83
Persistent link: https://www.econbiz.de/10010201094
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Co-movement and dynamic correlation of financial and energy markets : an integrated framework of nonlinear dynamics, wavelet analysis and DCC-GARCH
Ghosh, Indranil; Sanyal, Manas Kumar; Jana, R. K. - In: Computational economics 57 (2021) 2, pp. 503-527
Persistent link: https://www.econbiz.de/10012486945
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Time-varying persistence in real oil prices and its determinant
Kruse, Robinson; Wegener, Christoph - In: Energy economics 85 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012510274
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Price reversals after extreme price shocks : impact of earnings information with time series evidence from emerging market
Saji, T. G. - In: Journal of accounting, auditing & finance : JAAF 39 (2024) 2, pp. 414-433
Persistent link: https://www.econbiz.de/10014584608
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Modelling long run comovements in equity markets : a flexible approach
Martins, Luís Filipe; Gabriel, Vasco J. - In: Journal of banking & finance 47 (2014), pp. 288-295
Persistent link: https://www.econbiz.de/10010506954
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Financial integration of Asian markets : multivariate cointegration, causality and variance decomposition
Lamia, Kalai - In: International journal of business and systems research … 15 (2021) 4, pp. 510-526
Persistent link: https://www.econbiz.de/10012596136
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Co-movements in volatility of dependency between US dollar and euro : analysing by conditional heteroscedasticity models
Jamel, Lamia; Mansour, Sihem - In: International journal of management & enterprise … 18 (2019) 1/2, pp. 1-19
Persistent link: https://www.econbiz.de/10012116976
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Inference on the maximal rank of time-varying covariance matrices using high-frequency data
Reiß, Markus; Winkelmann, Lars - 2021
rank estimation method via sequential testing. For a class of stochastic volatility models, we determine data …
Persistent link: https://www.econbiz.de/10012655380
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The term structure of volatility predictability
Li, Xingyi; Zakamulin, Valeriy - In: International journal of forecasting 36 (2020) 2, pp. 723-737
Persistent link: https://www.econbiz.de/10012415339
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Investigating new sources of information and nonlinearities on financial markets
Behrendt, Simon - 2020
Persistent link: https://www.econbiz.de/10012415028