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Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading

Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42

Persistent link: https://www.econbiz.de/10011917413

Price dividend ratio and long-run stock returns : a score driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020

estimation of the state vector and of the time-varying parameters. We use this method to study the timevarying relationship …

Persistent link: https://www.econbiz.de/10012156426

Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil : Comment

Bonaccolto, Giovanni; Caporin, Massimiliano; Iacopini, … - In: Energy economics 132 (2024), pp. 1-4

Persistent link: https://www.econbiz.de/10015047165

Price dividend ratio and long-run stock returns : a score driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2019

Persistent link: https://www.econbiz.de/10012205777

Introduction to Wavelet Theory in Finance : A Wavelet Multiscale Approach

In, Francis - 2012

, wavelet correlation, and variance - in a unified manner. It covers important topics in finance, such as portfolio asset … -- Periodic boundary -- Reflection boundary -- Brick wall condition -- 1.4 Wavelet Variance, Covariance and Correlation -- 1 ….4.1 Wavelet variance -- 1.4.2 Wavelet covariance and correlation -- 1.4.3 Cross wavelet covariance and correlation -- 1.5 Long …

Persistent link: https://www.econbiz.de/10012687027

Co-movement between RMB and New Taiwan Dollars : evidences from NDF markets

Lien, Da-hsiang Donald; Li, Yang; Zhou, Chunyang; Lee, Geul - In: The North American journal of economics and finance : a … 28 (2014), pp. 265-272

Persistent link: https://www.econbiz.de/10010461942

Predictability of industry stock return : the Australian evidence ; investigation into return predictability

Yao, Juan - 2009

Persistent link: https://www.econbiz.de/10003984729

Wavelet Decomposition and Regime Shifts : Assessing the Effects of Crude Oil Shocks on Stock Market Returns

Jammazi, Rania - 2010

for UK, France and Japan over the period from January 1989 to December 2007. Our procedure involves the estimation of the …

Persistent link: https://www.econbiz.de/10013136516

Are stock returns an inflation hedge for the UK? : evidence from a wavelet analysis using over three centuries of data

Tiwari, Aviral Kumar; Cuñado Eizaguirre, Juncal; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10012054891

Does sentiment matter for stock returns? : evidence from Indian stock market using wavelet approach

Dash, Saumya Ranjan; Maitra, Debasish - In: Finance research letters 26 (2018), pp. 32-39

Persistent link: https://www.econbiz.de/10012005423