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Profitability of the Moving Average Strategy and the Episodic Dependencies: Empirical Evidence from European Stock

Todea, Alexandru; Zoicas-Ienciu, Adrian; Filip, Angela-Maria - In: European Research Studies Journal XII (2009) 1, pp. 63-72

Numerous recent studies are emphasizing the existence of different stock price behaviors, namely long random walk sub periods alternating with short ones characterized by strong linear and/or nonlinear correlations. All these studies suggest that these serial dependencies have an episodic...

Persistent link: https://www.econbiz.de/10008515044

Nonlinearity in the Indian commodity markets : evidence from a battery of tests

Soni, Tarun Kumar - In: International journal of financial engineering and risk … 1 (2013) 1, pp. 73-89

Persistent link: https://www.econbiz.de/10010197971

Forecasting volatility with Copula-based time series models

Sokolinskiy, Oleg; Dijk, Dick van - 2011

Persistent link: https://www.econbiz.de/10009720755

The time-varying and asymmetric dependence between crude oil spot and futures markets : evidence from the mixture copula-based ARJI-GARCH model

Chang, Kuang-liang - In: Economic modelling 29 (2012) 6, pp. 2298-2309

Persistent link: https://www.econbiz.de/10009673749

A search for long-range dependence and chaotic structure in Indian stock market

Mishra, Ritesh Kumar; Sehgal, Sanjay; Bhanumurthy, N. R. - In: Review of financial economics : RFE 20 (2011) 2, pp. 96-104

Persistent link: https://www.econbiz.de/10009271745

Using local Gaussian correlation in a nonlinear re-examination of financial contagion

Støve, Bård; Tjostheim, Dag; Hufthammer, Karl Ove - In: Journal of empirical finance 25 (2014), pp. 62-82

Persistent link: https://www.econbiz.de/10010462084

Testing conditional independence via empirical likelihood

Su, Liangjun; White, Halbert - In: Journal of econometrics 182 (2014) 1, pp. 27-44

Persistent link: https://www.econbiz.de/10010497148

Modeling time-varying skewness via decomposition for out-of-sample forecast

Liu, Xiaochun - In: International journal of forecasting 31 (2015) 2, pp. 296-311

Persistent link: https://www.econbiz.de/10011474059

Distributional linkages between European sovereign bond and bank asset returns

Gálvez, Julio; Mencía, Javier - 2014

Persistent link: https://www.econbiz.de/10011408234

Max-linear competing factor models

Cui, Qiurong; Zhang, Zhengjun - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 62-74

Persistent link: https://www.econbiz.de/10011894393

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