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Three essays on asset pricing and portfolio allocation
Zhang, Zhe - 2004
Persistent link: https://www.econbiz.de/10003387672
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Long-term dependency structure and structural breaks : evidence from the U.S. sector returns and volatility
Ngene, Geoffrey; Mungai, Ann Nduati; Lynch, Allen K. - In: Review of Pacific Basin financial markets and policies 21 (2018) 2, pp. 1-38
Persistent link: https://www.econbiz.de/10011865593
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Structural breaks and volatility spillovers : the case of the US and Canadian Stock Markets
Tsuji, Chikashi - In: Journal of management research 11 (2019) 2, pp. 30-44
Persistent link: https://www.econbiz.de/10011993943
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Volatility spillovers between the US and China stock markets : structural break test with symmetric and asymmetric GARCH approaches
Moon, Gyu-hyen; Yu, Wei-choun - In: Global economic review 39 (2010) 2, pp. 129-149
Persistent link: https://www.econbiz.de/10003997793
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Are U.S. stock prices mean reverting? : some new tests using fractional integration models with overlapping data and structural breaks
Clark, Steven P.; Coggin, T. Daniel - In: Empirical economics : a journal of the Institute for … 40 (2011) 2, pp. 373-391
Persistent link: https://www.econbiz.de/10008987464
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Long memory and structural breaks in modeling the return and volatility dynamics of precious metals
Arouri, Mohamed; Hammoudeh, Shawkat; Lahiani, Amine; … - In: The quarterly review of economics and finance : journal … 52 (2012) 2, pp. 207-218
Persistent link: https://www.econbiz.de/10009700518
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Autoregressive models with time-varying parameters and applications to financial time series
Liu, Haiyan - 2003
Persistent link: https://www.econbiz.de/10003628461
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Breaks and outliers when modelling the volatility of the U.S. stock market
Chatzikonstanti, Vasiliki - In: Applied economics 49 (2017) 46, pp. 4704-4717
Persistent link: https://www.econbiz.de/10011844777
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - 2015 - This version: June 6, 2015
Persistent link: https://www.econbiz.de/10011809314
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Risk spillovers from China's and the US stock markets during high-volatility periods : evidence from East Asianstock markets
Wang, Bo; Xiao, Yang - In: International review of financial analysis 86 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014249132