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Threshold non-linear dynamics between Hang Seng stock index and futures returns

Chung, Hon-lun; Chan, Wai-Sum; Batten, Jonathan A. - In: The European journal of finance 17 (2011) 7/8, pp. 471-486

Persistent link: https://www.econbiz.de/10009509864

Stock return autocorrelations revisited : a quantile regression approach

Baur, Dirk G.; Dimpfl, Thomas; Jung, Robert - 2012

The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...

Persistent link: https://www.econbiz.de/10009411861

Interday drifts in opening stock returns

Kudryavtsev, Andrey - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 53-72

Persistent link: https://www.econbiz.de/10010224752

The determinants of quantile autocorrelations : evidence from the UK

Ge̜bka, Bartosz; Wohar, Mark E. - In: International review of financial analysis 29 (2013), pp. 51-61

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Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach

Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 14 (2015) 9, pp. 899-905

Persistent link: https://www.econbiz.de/10011459137

Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index

Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613

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Can linear predictability models time bull and bear real estate markets? : out-of-sample evidence from REIT portfolios

Bianchi, Daniele; Guidolin, Massimo - In: The journal of real estate finance and economics 49 (2014) 1, pp. 116-164

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When do opening stock returns tend to be higher?

Kudryavtsev, Andrey - In: International economic journal 28 (2014) 3, pp. 445-458

Persistent link: https://www.econbiz.de/10010503503

Stock return autocorrelations revisited : a quantile regression approach

Baur, Dirk G.; Dimpfl, Thomas; Jung, Robert - In: Journal of empirical finance 19 (2012) 2, pp. 254-265

Persistent link: https://www.econbiz.de/10009615707

Time-varying effects of housing and stock returns on U.S. consumption

Simo-Kengne, Beatrice D.; Miller, Stephen M.; Gupta, Rangan - In: The journal of real estate finance and economics 50 (2015) 3, pp. 339-354

Persistent link: https://www.econbiz.de/10011474541

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