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Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

Cointegration and causality analysis of dynamic linkage between stock market and equity mutual funds in Australia

Sasipa Pojanavatee - In: Cogent economics & finance 2 (2014) 1, pp. 1-17

The existing literature finds conflicting results on the magnitude of price linkages between equity mutual funds and the stock market. The study contends that in an optimal lagged model, the expectations of future prices using knowledge of past price behaviour in a particular equity mutual fund...

Persistent link: https://www.econbiz.de/10010469413

Bayesian estimation and prediction for ACD models in the analysis of trade durations from the Polish stock market

Huptas, Roman - In: Central European journal of economic modelling and … 6 (2014) 4, pp. 237-273

Persistent link: https://www.econbiz.de/10010503009

Canonical correlation analysis : macroeconomic variables versus stock returns

Mazuruse, Peter - In: Journal of financial economic policy 6 (2014) 2, pp. 179-196

Persistent link: https://www.econbiz.de/10010490604

Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264

Persistent link: https://www.econbiz.de/10010433362

Asymmetric generalized impulse responses with an application in finance

Hatemi-J, Abdulnasser - In: Economic modelling 36 (2014), pp. 18-22

Persistent link: https://www.econbiz.de/10010412088

Are frontier stock markets more inefficient than emerging stock markets?

Dheeriya, Prakash L.; Torun, Erdost - In: International journal of monetary economics and finance 6 (2013) 4, pp. 271-284

Persistent link: https://www.econbiz.de/10010412983

Parameter estimation and forecasting for multiplicative lognormal cascades

Leövey, Andrés E.; Lux, Thomas - 2011

Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …

Persistent link: https://www.econbiz.de/10009389845

Distinguishing short and long memory volatility specifications

Pong, Shiuyan; Shackleton, Mark B.; Taylor, Stephen - In: The econometrics journal 11 (2008) 3, pp. 617-637

Persistent link: https://www.econbiz.de/10003802446

A GARCH model for testing market efficiency

Narayan, Paresh Kumar; Liu, Ruipeng; Westerlund, Joakim - In: Journal of international financial markets, … 41 (2016), pp. 121-138

Persistent link: https://www.econbiz.de/10011475947