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Investigating the dynamics of CEE stock index returns with a Bayesian TAR model
Acatrinei, Marius - In: Financial and macroeconomic dynamics in Central and …, (pp. 75-95). 2012
Persistent link: https://www.econbiz.de/10009729232
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The influence of positive feedback trading on return autocorrelation: evidence for the German stock market
Bohl, Martin T.; Reitz, Stefan - In: Aktuelle Entwicklungen im Finanzdienstleistungsbereich …, (pp. 221-233). 2004
Persistent link: https://www.econbiz.de/10002033848
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The volatility connectedness between oil and stocks : evidence from the G7 markets
BenMabrouk, Houda - In: Financial Market Dynamics after COVID 19 : The …, (pp. 67-99). 2022
Persistent link: https://www.econbiz.de/10013198542
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Application of feed-forward neural networks smoothing transition autoregressive models in stock returns forecasting
Giovanis, Eleftherios - In: Computational optimization in economics and finance …, (pp. 27-47). 2013
Persistent link: https://www.econbiz.de/10009734441
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Statistical process control and its application in finance
Severin, Thomas - In: Risk measurement, econometrics and neural networks : …, (pp. 83-104). 1998
Persistent link: https://www.econbiz.de/10001305358
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Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
Jawadi, Fredj; Louhichi, Wael; Cheffou, Abdoulkarim Idi; … - In: Decision making and risk/return optimization in …, (pp. 275-295). 2019
Persistent link: https://www.econbiz.de/10012134816
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Idiosyncratic risk and mutual fund performance
Vidal-García, Javier; Vidal, Marta; Boubaker, Sabri; … - In: Decision making and risk/return optimization in …, (pp. 349-372). 2019
Persistent link: https://www.econbiz.de/10012135878
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Asymmetric dependence, persistence and firm-level stock return predictability
Alcock, Jamie; Andrtikova, Petra - In: Asymmetric dependence in finance : diversification, …, (pp. 198-220). 2018
Persistent link: https://www.econbiz.de/10011978515
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Data-driven investigation into anomaly trading strategies : evidence with econometrics
French, Jordan - 2019
Persistent link: https://www.econbiz.de/10012126157
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The causal relationship between returns and trading volume in cryptocurrency markets : recursive evolving approach
Cagli, Efe Çaglar - In: Blockchain economics and financial market innovation : …, (pp. 167-190). 2019
This chapter examines the time-varying causal relationship between trading volume and returns in cryptocurrency markets. The chapter employs a novel Granger causality framework based on a recursive evolving window procedure. The procedures allow detecting changes in causal relationships among...
Persistent link: https://www.econbiz.de/10012149978