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Maniatis, Paraschos; Gioulbaxiotis, Nicholas - In: International business and economics research journal 5 (2006) 11, pp. 25-34

Persistent link: https://www.econbiz.de/10003421724

Speculative nonfundamental components in mature stock markets : do they exist and are they related?

Bhar, Ramaprasad; Malliaris, Anastasios G. - In: Advances in quantitative analysis of finance and … 3 (2006), pp. 217-246

Persistent link: https://www.econbiz.de/10003424674

Short-term overreaction, underreaction and efficient reaction : evidence from the London Stock Exchange

Spyrou, Spyros I.; Kassimatis, Konstantinos; … - In: Applied financial economics 17 (2007) 1/3, pp. 221-235

Persistent link: https://www.econbiz.de/10003427064

Profitability of momentum strategies in internatinal markets : the role of business cycle variables and behavioural biases

Antoniou, Antonios; Lam, Herbert Y. T.; Paudyal, Krishna - In: Journal of banking & finance 31 (2007) 3, pp. 955-972

Persistent link: https://www.econbiz.de/10003429883

International portfolio diversification : a study of linkages among the US, European and Japanese equity markets

Rezayat, Fahimeh; Yavas, Burhan F. - In: Journal of multinational financial management 16 (2006) 4, pp. 440-458

Persistent link: https://www.econbiz.de/10003374054

Dynamic factor GARCH : multivariate volatility forecast for a large number of series

Alessi, Lucia (contributor); Barigozzi, Matteo (contributor) - 2007

We propose a new method for multivariate forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the multivariate Generalized Autoregressive Conditionally Heteroskedastic (GARCH) model. We assume that the dynamic common factors are conditionally heteroskedastic. The GDFM,...