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subject:"Time series analysis"
subject:"Business cycle"
~isPartOf:"Journal of empirical finance"
~isPartOf:"The empirical economics letters : a monthly international journal of economics"
~type_genre:"Aufsatz in Zeitschrift"
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Journal of empirical finance
The empirical economics letters : a monthly international journal of economics
Economic modelling
154
Applied economics
152
Applied economics letters
124
Journal of econometrics
122
Economics letters
116
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
104
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99
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79
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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 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:
3
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:
4
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:
5
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:
6
The dark side of the stock market boom : an empirical study on stock market fluctuations and insomnia
Teng, Joshua Chen-Yuan
;
Liu, Tsai-Ching
;
Peng, Hui-Chun
; …
- In:
The empirical economics letters : a monthly …
19
(
2020
)
9
,
pp. 969-978
Persistent link: https://www.econbiz.de/10012597876
Saved in:
7
Bayesian forecasts in VAR models : the case of Taiwan
Chin, Kuo-Hsuan
;
Lin, Yen-Ju
- In:
The empirical economics letters : a monthly …
19
(
2020
)
12
,
pp. 1413-1422
Persistent link: https://www.econbiz.de/10012608485
Saved in:
8
Revisiting the term of interest rates: evidence from USA
Kuo, Pao-Lan
;
Chiu, Chien-Liang
;
Chang, Tsangyao
;
Wang, …
- In:
The empirical economics letters : a monthly …
18
(
2019
)
11
,
pp. 1141-1150
Persistent link: https://www.econbiz.de/10012372785
Saved in:
9
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:
10
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:
11
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:
12
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:
13
Public spending and FDI in Benin
Mitra, Rajarshi
;
Hossain, Md. Sharif
- In:
The empirical economics letters : a monthly …
17
(
2018
)
9
,
pp. 1065-1072
Persistent link: https://www.econbiz.de/10012006765
Saved in:
14
Bringing quantile unit root test with both sharp shifts and smooth breaks back to testing time series property of per capita cigarette consumption
Chang, Tsangyao
;
Hsueh, Hsin-Pei
- In:
The empirical economics letters : a monthly …
17
(
2018
)
9
,
pp. 1147-1158
Persistent link: https://www.econbiz.de/10012006779
Saved in:
15
Testing the Purchasing Power Parity hypothesis in India : a non-linear cointegration approach
Tiwari, Aviral Kumar
;
Aruna, Mothkuri
;
Dash, Aruna Kumar
- In:
The empirical economics letters : a monthly …
17
(
2018
)
11
,
pp. 1321-1330
Persistent link: https://www.econbiz.de/10012006892
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
Analysis of the predictability of BREXIT
Humphries, Veronika
;
Johnston, Tammy
- In:
The empirical economics letters : a monthly …
17
(
2018
)
1
,
pp. 99-107
Persistent link: https://www.econbiz.de/10011912788
Saved in:
18
Long memory in stock returns : an analysis using a wavelet based semi-parametric estimator
Bhandari, Avishek
- In:
The empirical economics letters : a monthly …
17
(
2018
)
2
,
pp. 167-176
Persistent link: https://www.econbiz.de/10011912845
Saved in:
19
The PPP hypothesis revisited : evidence using a multivariate long-memory model
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
;
Lovcha, …
- In:
The empirical economics letters : a monthly …
17
(
2018
)
5
,
pp. 563-567
Persistent link: https://www.econbiz.de/10011913379
Saved in:
20
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:
21
Trade liberalization and export earnings : a time series analysis
Sajeewani, Disna
;
Wijeweera, Albert
- In:
The empirical economics letters : a monthly …
16
(
2017
)
11
,
pp. 1223-1234
Persistent link: https://www.econbiz.de/10011907125
Saved in:
22
Does agricultural sector matter for business cycles? : evidence from Turkey
Erdem, Ekrem
;
Yücel, Ali Gökhan
- In:
The empirical economics letters : a monthly …
16
(
2017
)
11
,
pp. 1235-1245
Persistent link: https://www.econbiz.de/10011907127
Saved in:
23
Are fluctuations in energy consumption transitory or permanent? : evidence from a new panel unit root test
Ari, Ayse
- In:
The empirical economics letters : a monthly …
15
(
2016
)
3
,
pp. 281-292
Persistent link: https://www.econbiz.de/10011580562
Saved in:
24
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:
25
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:
26
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:
27
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:
28
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:
29
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:
30
Energy consumption and economic growth in China : evidence from state-space model
Behera, Jaganath
- In:
The empirical economics letters : a monthly …
15
(
2016
)
12
,
pp. 1143-1156
Persistent link: https://www.econbiz.de/10011717170
Saved in:
31
Unemployment-labor force participation rate relationship in the periods of business cycle : a nonlinear approach
Taniöver, Banu
- In:
The empirical economics letters : a monthly …
15
(
2016
)
9
,
pp. 903-920
Persistent link: https://www.econbiz.de/10011718518
Saved in:
32
An empirical test of purchasing power parity for CASSH and BRICS countries : panel stationary test with both smooth and sharp breaks
Wu, Tsung-Pao
- In:
The empirical economics letters : a monthly …
15
(
2016
)
8
,
pp. 767-778
Persistent link: https://www.econbiz.de/10011718582
Saved in:
33
Testing for unit roots in three-regime SETAR models : application to the United States per capita real health care expenditure time series
Murthy, Vasudeva N. R.
- In:
The empirical economics letters : a monthly …
14
(
2015
)
4
,
pp. 307-314
Persistent link: https://www.econbiz.de/10011418844
Saved in:
34
Relationship between economic growth and exports in Mainland China : evidence from the structural time series model
Hasan, Mohammad S.
- In:
The empirical economics letters : a monthly …
14
(
2015
)
6
,
pp. 537-542
Persistent link: https://www.econbiz.de/10011419110
Saved in:
35
Age-distribution and business cycle volatility : evidence from Japanese prefectural panel data
Niizeki, Takeshi
- In:
The empirical economics letters : a monthly …
14
(
2015
)
10
,
pp. 951-956
Persistent link: https://www.econbiz.de/10011504545
Saved in:
36
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
Saved in:
37
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:
38
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:
39
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:
40
Observation-driven models for right skewed nonstationary panel data : an application to GDP study
Mahmood, Munir
;
Mallick, Taslim
;
Bari, Wasimul
;
Hasan, …
- In:
The empirical economics letters : a monthly …
14
(
2015
)
2
,
pp. 173-182
Persistent link: https://www.econbiz.de/10011311256
Saved in:
41
The estimation gain in the usage of fractional integration to forecast a vacancy houses level series
Amorin, Anderson Luis Walker
;
Souza, Adriano Mendonça de
; …
- In:
The empirical economics letters : a monthly …
14
(
2015
)
1
,
pp. 25-32
Persistent link: https://www.econbiz.de/10011311313
Saved in:
42
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:
43
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:
44
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:
45
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:
46
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:
47
Forecasting self-employment in the UK
Saridakis, George
;
Papaioannou, Grammatoula
- In:
The empirical economics letters : a monthly …
13
(
2014
)
9
,
pp. 923-930
Persistent link: https://www.econbiz.de/10010520403
Saved in:
48
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:
49
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:
50
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
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