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Persistent link: https://www.econbiz.de/10014248566

Noncausality and the commodity currency hypothesis

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Mean and variance equation dynamics : time deformation, GARCH, and a robust analysis of the London housing market

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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

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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

Forecasting aggregate equity return volatility using crude oil price volatility : The role of nonlinearities and asymmetries

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Mean reversion in US and international short rates

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

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Nonlinear and time-varying risk premia

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Persistent link: https://www.econbiz.de/10012607208

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

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