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subject:"Time series analysis"
subject:"Business cycle"
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1
Investor sentiment and global economic conditions
Herculano, Miguel C.
;
Lütkebohmert-Holtz, Eva
- In:
Journal of empirical finance
73
(
2023
),
pp. 134-152
Persistent link: https://www.econbiz.de/10014477003
Saved in:
2
Forecasting realized volatility with wavelet decomposition
Souropanis, Ioannis
;
Vivian, Andrew
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-25
Persistent link: https://www.econbiz.de/10014477112
Saved in:
3
Forecasting intraday market risk : a marked self-exciting point process with exogenous renewals
Stindl, Tom
- In:
Journal of empirical finance
70
(
2023
),
pp. 182-198
Persistent link: https://www.econbiz.de/10014423627
Saved in:
4
Intraday VaR : a copula-based approach
Wang, Keli
;
Liu, Xiaoquan
;
Ye, Wuyi
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
Saved in:
5
Multiple testing of the forward rate unbiasedness hypothesis across currencies
Fu, Hsuan
;
Luger, Richard
- In:
Journal of empirical finance
68
(
2022
),
pp. 232-245
Persistent link: https://www.econbiz.de/10013464493
Saved in:
6
Do interest rate differentials drive the volatility of exchange rates? : evidence from an extended stochastic volatility model
Ulm, Maren
;
Hambuckers, Julien
- In:
Journal of empirical finance
65
(
2022
),
pp. 125-148
Persistent link: https://www.econbiz.de/10013286403
Saved in:
7
Can interest rate factors explain exchange rate fluctuations?
Yung, Julieta
- In:
Journal of empirical finance
61
(
2021
),
pp. 34-56
Persistent link: https://www.econbiz.de/10012693233
Saved in:
8
Forecasting stock returns with large dimensional factor models
Giovannelli, Alessandro
;
Massacci, Daniele
;
Soccorsi, …
- In:
Journal of empirical finance
63
(
2021
),
pp. 252-269
Persistent link: https://www.econbiz.de/10013259267
Saved in:
9
Do structural breaks in volatility cause spurious volatility transmission?
Caporin, Massimiliano
;
Malik, Farooq
- In:
Journal of empirical finance
55
(
2020
),
pp. 60-82
Persistent link: https://www.econbiz.de/10012175260
Saved in:
10
The time-varying asymmetry of exchange rate returns : a stochastic volatility : stochastic skewness model
Iseringhausen, Martin
- In:
Journal of empirical finance
58
(
2020
),
pp. 275-292
Persistent link: https://www.econbiz.de/10012430700
Saved in:
11
Cross-sectional return dispersion and currency momentum
Eriksen, Jonas Nygaard
- In:
Journal of empirical finance
53
(
2019
),
pp. 91-108
Persistent link: https://www.econbiz.de/10012171641
Saved in:
12
Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo
;
Verona, Fabio
- In:
Journal of empirical finance
45
(
2018
),
pp. 228-242
Persistent link: https://www.econbiz.de/10012102423
Saved in:
13
Macroeconomic determinants of stock market betas
González Sánchez, Mariano
;
Nave, Juan
;
Rubio, Gonzalo
- In:
Journal of empirical finance
45
(
2018
),
pp. 26-44
Persistent link: https://www.econbiz.de/10012102444
Saved in:
14
The decomposition of jump risks in individual stock returns
Xiao, Xiao
;
Chen Zhou
- In:
Journal of empirical finance
47
(
2018
),
pp. 207-228
Persistent link: https://www.econbiz.de/10012103499
Saved in:
15
Macroeconomic determinants of the term structure : long-run and short-run dynamics
Doshi, Hitesh
;
Jacobs, Kris
;
Liu, Rui
- In:
Journal of empirical finance
48
(
2018
),
pp. 99-122
Persistent link: https://www.econbiz.de/10012109275
Saved in:
16
Time-varying volatility and the power law distribution of stock returns
Warusawitharana, Missaka
- In:
Journal of empirical finance
49
(
2018
),
pp. 123-141
Persistent link: https://www.econbiz.de/10012117726
Saved in:
17
Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns : evidence for scale-dependent risks
Xyngis, Georgios
- In:
Journal of empirical finance
44
(
2017
),
pp. 43-65
Persistent link: https://www.econbiz.de/10011817984
Saved in:
18
Foreign exchange predictability and the carry trade : a decomposition approach
Anatolyev, Stanislav
;
Gospodinov, Nikolaj
;
Jamali, Ibrahim
- In:
Journal of empirical finance
42
(
2017
),
pp. 199-211
Persistent link: https://www.econbiz.de/10011808567
Saved in:
19
Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco
;
Dupuis, Debbie J.
;
Trapin, Luca
- In:
Journal of empirical finance
36
(
2016
),
pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
Saved in:
20
Dynamic asymmetries in house price cycles : a generalized smooth transition model
Canepa, Alessandra
;
Zanetti Chini, Emilio
- In:
Journal of empirical finance
37
(
2016
),
pp. 91-103
Persistent link: https://www.econbiz.de/10011662961
Saved in:
21
Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets
Teterin, Pavel
;
Brooks, Robert
;
Enders, Walter
- In:
Journal of empirical finance
38
(
2016
),
pp. 22-36
Persistent link: https://www.econbiz.de/10011663220
Saved in:
22
The forecast dispersion anomaly revisited : time-series forecast dispersion and the cross-section of stock returns
Kim, Dongcheol
;
Na, Haejung
- In:
Journal of empirical finance
39
(
2016
),
pp. 37-53
Persistent link: https://www.econbiz.de/10011663264
Saved in:
23
Assessing Euro crises from a time varying international CAPM approach
Baillie, Richard
;
Cho, Dooyeon
- In:
Journal of empirical finance
39
(
2016
),
pp. 197-208
Persistent link: https://www.econbiz.de/10011663843
Saved in:
24
Inflation convergence in the EMU
Karanasos, Menelaos
;
Koutroumpis, P.
;
Karavias, Y.
; …
- In:
Journal of empirical finance
39
(
2016
),
pp. 241-253
Persistent link: https://www.econbiz.de/10011664324
Saved in:
25
Commodity price volatility under regulatory changes and disaster
Marvasti, Akbar
;
Lamberte, Antonio
- In:
Journal of empirical finance
38
(
2016
),
pp. 355-361
Persistent link: https://www.econbiz.de/10011664764
Saved in:
26
On financial risk and the safe haven characteristics of Swiss franc exchange rates
Grisse, Christian
;
Nitschka, Thomas
- In:
Journal of empirical finance
32
(
2015
),
pp. 153-164
Persistent link: https://www.econbiz.de/10011556812
Saved in:
27
Two-step estimation of the volatility functions in diffusion models with empirical applications
Ye, Xu-Guo
;
Lin, Jin-Guan
;
Zhao, Yan-Yong
;
Hao, Hong-Xia
- In:
Journal of empirical finance
33
(
2015
),
pp. 135-159
Persistent link: https://www.econbiz.de/10011556861
Saved in:
28
Volatility co-movements : a time-scale decomposition analysis
Cipollini, Andrea
;
Lo Cascio, Iolanda
;
Muzzioli, Silvia
- In:
Journal of empirical finance
34
(
2015
),
pp. 34-44
Persistent link: https://www.econbiz.de/10011556988
Saved in:
29
The economic value of volatility timing with realized jumps
Nolte, Ingmar
;
Xu, Qi
- In:
Journal of empirical finance
34
(
2015
),
pp. 45-59
Persistent link: https://www.econbiz.de/10011556992
Saved in:
30
Credit market imperfections and business cycle asymmetries in Turkey
Günay, Hüseyin
;
Kılınç, Mustafa
- In:
Journal of empirical finance
34
(
2015
),
pp. 79-98
Persistent link: https://www.econbiz.de/10011557070
Saved in:
31
Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions
Baillie, Richard
;
Kim, Kun Ho
- In:
Journal of empirical finance
34
(
2015
),
pp. 99-111
Persistent link: https://www.econbiz.de/10011557073
Saved in:
32
Predicting exchange rate cycles utilizing risk factors
Ahmed, Jameel
;
Straetmans, Stefan
- In:
Journal of empirical finance
34
(
2015
),
pp. 112-130
Persistent link: https://www.econbiz.de/10011557076
Saved in:
33
The role of covered interest parity in explaining the forward premium anomaly within a nonlinear panel framework
Cho, Dooyeon
- In:
Journal of empirical finance
34
(
2015
),
pp. 229-238
Persistent link: https://www.econbiz.de/10011557131
Saved in:
34
It's all about volatility of volatility : evidence from a two-factor stochastic volatility model
Grassi, Stefano
;
Santucci de Magistris, Paolo
- In:
Journal of empirical finance
30
(
2015
),
pp. 62-78
Persistent link: https://www.econbiz.de/10011489216
Saved in:
35
Market volatility and momentum
Wang, Kevin Q.
;
Xu, Jianguo
- In:
Journal of empirical finance
30
(
2015
),
pp. 79-91
Persistent link: https://www.econbiz.de/10011489219
Saved in:
36
Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo
;
Patton, Andrew J.
- In:
Journal of empirical finance
30
(
2015
),
pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
Saved in:
37
Testing of a market fraction model and power-law behaviour in the DAX 30
He, Xue-zhong
;
Li, Youwei
- In:
Journal of empirical finance
31
(
2015
),
pp. 1-17
Persistent link: https://www.econbiz.de/10011489318
Saved in:
38
Market proxies as factors in linear asset pricing models : still living with the roll critique
Prono, Todd
- In:
Journal of empirical finance
31
(
2015
),
pp. 36-53
Persistent link: https://www.econbiz.de/10011489332
Saved in:
39
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
40
Level shifts in stock returns driven by large shocks
Dendramis, Yiannis
;
Kapetanios, George
;
Tzavalis, Elias
- In:
Journal of empirical finance
29
(
2014
),
pp. 41-51
Persistent link: https://www.econbiz.de/10011300506
Saved in:
41
On the macroeconomic determinants of long-term volatilities and correlations in US stock and crude oil markets
Conrad, Christian
;
Stürmer, Karin
;
Rittler, Daniel
- In:
Journal of empirical finance
29
(
2014
),
pp. 26-40
Persistent link: https://www.econbiz.de/10011300507
Saved in:
42
Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?
Salvador, Enrique
;
Floros, Christos
;
Aragó Manzana, Vicent
- In:
Journal of empirical finance
28
(
2014
),
pp. 60-77
Persistent link: https://www.econbiz.de/10011284508
Saved in:
43
Consumer confidence or the business cycle : what matters more for European expected returns?
Møller, Stig Vinther
;
Nørholm, Henrik
;
Rangvid, Jesper
- In:
Journal of empirical finance
28
(
2014
),
pp. 230-248
Persistent link: https://www.econbiz.de/10011285064
Saved in:
44
Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation
Tse, Yiu Kuen
;
Dong, Yingjie
- In:
Journal of empirical finance
28
(
2014
),
pp. 352-361
Persistent link: https://www.econbiz.de/10011285621
Saved in:
45
Quantiles of the realized stock-bond correlation and links to the macroeconomy
Aslanidis, Nektarios
;
Christiansen, Charlotte
- In:
Journal of empirical finance
28
(
2014
),
pp. 321-331
Persistent link: https://www.econbiz.de/10011285626
Saved in:
46
High frequency lead/lag relationships : empirical facts
Huth, Nicolas
;
Abergel, Frédéric
- In:
Journal of empirical finance
26
(
2014
),
pp. 41-58
Persistent link: https://www.econbiz.de/10010472008
Saved in:
47
Detecting synchronous cycles in financial time series of unequal length
Reschenhofer, Erhard
;
Lingler, Michaela
- In:
Journal of empirical finance
24
(
2013
),
pp. 1-9
Persistent link: https://www.econbiz.de/10010371995
Saved in:
48
Nonlinearity and smoothing in venture capital performance data
McKenzie, Michael D.
;
Satchell, Stephen
;
Wongwachara, …
- In:
Journal of empirical finance
19
(
2012
)
5
,
pp. 782-795
Persistent link: https://www.econbiz.de/10009700590
Saved in:
49
Equity order flow and exchange rate dynamics
Ferreira Filipe, Sara
- In:
Journal of empirical finance
19
(
2012
)
3
,
pp. 359-381
Persistent link: https://www.econbiz.de/10009615677
Saved in:
50
On the intraday periodicity duration adjustment of high-frequency data
Wu, Zhengxiao
- In:
Journal of empirical finance
19
(
2012
)
2
,
pp. 282-291
Persistent link: https://www.econbiz.de/10009615704
Saved in:
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