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subject:"Time series analysis"
subject:"Business cycle"
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ECONIS (ZBW)
114
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1
International asset pricing with heterogeneous agents : estimation and inference
Tédongap, Roméo
;
Tinang, Jules
- In:
Journal of empirical finance
75
(
2024
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014491863
Saved in:
2
Stock return predictability and cyclical movements in valuation ratios
Yu, Deshui
;
Huang, Difang
;
Li, Chen
- In:
Journal of empirical finance
72
(
2023
),
pp. 36-53
Persistent link: https://www.econbiz.de/10014476797
Saved in:
3
Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Cheng, Hung-Wen
;
Chang, Li-Han
;
Lo, Chien-Ling
;
Tsai, …
- In:
Journal of empirical finance
72
(
2023
),
pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
Saved in:
4
Expected returns and risk in the stock market
Brennan, Michael J.
;
Taylor, Alex P.
- In:
Journal of empirical finance
72
(
2023
),
pp. 276-300
Persistent link: https://www.econbiz.de/10014476857
Saved in:
5
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:
6
Technology spillover, corporate investment, and stock returns
Hsu, Yen-Ju
;
Yanzhi, Wang
- In:
Journal of empirical finance
73
(
2023
),
pp. 238-250
Persistent link: https://www.econbiz.de/10014477016
Saved in:
7
Spillover effects in managerial compensation
Kieschnick, Robert L.
;
Shi, Wenyun
- In:
Journal of empirical finance
70
(
2023
),
pp. 62-73
Persistent link: https://www.econbiz.de/10014423607
Saved in:
8
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:
9
Are cryptocurrencies a safe haven for stock investors? : a regime-switching approach
Li, Leon
;
Miu, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 367-385
Persistent link: https://www.econbiz.de/10014423734
Saved in:
10
Can we forecast better in periods of low uncertainty? : the role of technical indicators
Ferrer Fernández, María
;
Henry, Ólan Thomas John
; …
- In:
Journal of empirical finance
71
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014292349
Saved in:
11
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:
12
Stock price movements : evidence from global equity markets
Lan, Chunhua
;
Bao Doan
- In:
Journal of empirical finance
69
(
2022
),
pp. 123-143
Persistent link: https://www.econbiz.de/10013478522
Saved in:
13
The non-linear trade-off between return and risk and its determinants
Cotter, John
;
Salvador, Enrique
- In:
Journal of empirical finance
67
(
2022
),
pp. 100-132
Persistent link: https://www.econbiz.de/10013464378
Saved in:
14
Testing predictability of stock returns under possible bubbles
Yang, Bingduo
;
Long, Wei
;
Yang, Zihui
- In:
Journal of empirical finance
68
(
2022
),
pp. 246-260
Persistent link: https://www.econbiz.de/10013464495
Saved in:
15
Asymmetric effects of the limit order book on price dynamics
Cenesizoglu, Tolga
;
Dionne, Georges
;
Zhou, Xiaozhou
- In:
Journal of empirical finance
65
(
2022
),
pp. 77-98
Persistent link: https://www.econbiz.de/10013286401
Saved in:
16
Isolating momentum crashes
Dierkes, Maik
;
Krupski, Jan
- In:
Journal of empirical finance
66
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013370567
Saved in:
17
Income, trading, and performance : evidence from retail investors
Bui, Dien Giau
;
Hasan, Iftekhar
;
Lin, Chih-Yung
;
Zhai, …
- In:
Journal of empirical finance
66
(
2022
),
pp. 176-195
Persistent link: https://www.econbiz.de/10013371058
Saved in:
18
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:
19
Time-dependent lottery preference and the cross-section of stock returns
Lin, Chaonan
;
Chen, Hong-Yi
;
Ko, Kuan-Cheng
;
Yang, Nien-Tzu
- In:
Journal of empirical finance
64
(
2021
),
pp. 272-294
Persistent link: https://www.econbiz.de/10013259495
Saved in:
20
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:
21
The long-run reversal in the long run : Insights from two centuries of international equity returns
Zaremba, Adam
;
Kizys, Renatas
;
Raza, Muhammad Wajid
- In:
Journal of empirical finance
55
(
2020
),
pp. 177-199
Persistent link: https://www.econbiz.de/10012175753
Saved in:
22
Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions
Beetsma, Roel
;
Giuliodori, Massimo
;
Hanson, Jesper
; …
- In:
Journal of empirical finance
58
(
2020
),
pp. 96-120
Persistent link: https://www.econbiz.de/10012430666
Saved in:
23
Time varying integration of European stock markets and monetary drivers
Lee, Hyunchul
;
Kim, Heeho
- In:
Journal of empirical finance
58
(
2020
),
pp. 369-385
Persistent link: https://www.econbiz.de/10012430711
Saved in:
24
Do foreign investors insulate firms from local shocks? : evidence from the response of investable firms to monetary policy
Francis, Bill B.
;
Hunter, Delroy M.
;
Kelly, Patrick
- In:
Journal of empirical finance
58
(
2020
),
pp. 386-411
Persistent link: https://www.econbiz.de/10012430712
Saved in:
25
Industry equi-correlation : a powerful predictor of stock returns
Wang, Yudong
;
Pan, Zhiyuan
;
Wu, Chongfeng
;
Wu, Wenfeng
- In:
Journal of empirical finance
59
(
2020
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012437933
Saved in:
26
Cash-flow or return predictability at long horizons? : the case of earnings yield
Maio, Paulo
;
Xu, Danielle
- In:
Journal of empirical finance
59
(
2020
),
pp. 172-192
Persistent link: https://www.econbiz.de/10012437972
Saved in:
27
Does program trading contribute to excess comovement of stock returns?
Li, Mingyi
;
Yin, Xiangkang
;
Zhao, Jing
- In:
Journal of empirical finance
59
(
2020
),
pp. 257-277
Persistent link: https://www.econbiz.de/10012437986
Saved in:
28
Asset pricing model uncertainty
Borup, Daniel
- In:
Journal of empirical finance
54
(
2019
),
pp. 166-189
Persistent link: https://www.econbiz.de/10012174790
Saved in:
29
Investor sentiment, SEO market timing, and stock price performance
Chen, Yi-Wen
;
Chou, Robin K.
;
Lin, Chu-Bin
- In:
Journal of empirical finance
51
(
2019
),
pp. 28-43
Persistent link: https://www.econbiz.de/10012169955
Saved in:
30
Dividend growth and return predictability: a long-run re-examination of conventional wisdom
Verdickt, Gertjan
;
Annaert, Jan
;
Deloof, Marc
- In:
Journal of empirical finance
52
(
2019
),
pp. 112-127
Persistent link: https://www.econbiz.de/10012170658
Saved in:
31
Debt specialization and performance of European firms
Giannetti, Caterina
- In:
Journal of empirical finance
53
(
2019
),
pp. 257-271
Persistent link: https://www.econbiz.de/10012171642
Saved in:
32
How do disposition effect and anchoring bias interact to impact momentum in stock returns?
Hur, Jungshik
;
Vivek Singh
- In:
Journal of empirical finance
53
(
2019
),
pp. 238-256
Persistent link: https://www.econbiz.de/10012171673
Saved in:
33
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:
34
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:
35
Maximal predictability under long-term mean reversion
Hjalmarsson, Erik
- In:
Journal of empirical finance
45
(
2018
),
pp. 269-282
Persistent link: https://www.econbiz.de/10012102446
Saved in:
36
A robust and powerful test of abnormal stock returns in long-horizon event studies
Dutta, Anupam
;
Knif, Johan
;
Kolari, James W.
; …
- In:
Journal of empirical finance
47
(
2018
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012103461
Saved in:
37
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:
38
The robust “maximum daily return effect as demand for lottery” and “idiosyncratic volatility puzzle”
Egginton, Jared
;
Hur, Jungshik
- In:
Journal of empirical finance
47
(
2018
),
pp. 229-245
Persistent link: https://www.econbiz.de/10012103500
Saved in:
39
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:
40
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:
41
Seasonality in the cross section of stock returns : advanced markets versus emerging markets
Li, Fengyun
;
Zhang, Huacheng
;
Zheng, Dazhi
- In:
Journal of empirical finance
49
(
2018
),
pp. 263-281
Persistent link: https://www.econbiz.de/10012117746
Saved in:
42
Time-varying continuous and jump betas : the role of firm characteristics and periods of stress
Alexeev, Vitali
;
Dungey, Mardi H.
;
Yao, Wenying
- In:
Journal of empirical finance
40
(
2017
),
pp. 1-19
Persistent link: https://www.econbiz.de/10011744408
Saved in:
43
Improving the accuracy of asset price bubble start and end date estimators
Harvey, David I.
;
Leybourne, Stephen James
;
Sollis, Robert
- In:
Journal of empirical finance
40
(
2017
),
pp. 121-138
Persistent link: https://www.econbiz.de/10011744469
Saved in:
44
Marked Hawkes process modeling of price dynamics and volatility estimation
Lee, Kyungsub
;
Seo, Byoung Ki
- In:
Journal of empirical finance
40
(
2017
),
pp. 174-200
Persistent link: https://www.econbiz.de/10011745018
Saved in:
45
A comparison of alternative cash flow and discount rate news proxies
Khimich, Natalya
- In:
Journal of empirical finance
41
(
2017
),
pp. 31-52
Persistent link: https://www.econbiz.de/10011746958
Saved in:
46
Predicting international stock returns with conditional price-to-fundamental ratios
Lawrenz, Jochen
;
Zorn, Josef
- In:
Journal of empirical finance
43
(
2017
),
pp. 159-184
Persistent link: https://www.econbiz.de/10011817953
Saved in:
47
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:
48
Overreaction and the cross-section of returns : international evidence
Blackburn, Douglas W.
;
Cakici, Nusret
- In:
Journal of empirical finance
42
(
2017
),
pp. 1-14
Persistent link: https://www.econbiz.de/10011808471
Saved in:
49
A test of asymmetric comovement for state-dependent stock returns
Deng, Kaihua
- In:
Journal of empirical finance
36
(
2016
),
pp. 68-85
Persistent link: https://www.econbiz.de/10011662752
Saved in:
50
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:
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