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subject:"Zeitreihenanalyse"
isPartOf:"Gabler Edition Wissenschaft"
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1
Income inequality, inflation and financial development
Kim, Dong-Hyeon
;
Lin, Shu-Chin
- In:
Journal of empirical finance
72
(
2023
),
pp. 468-487
Persistent link: https://www.econbiz.de/10014476886
Saved in:
2
Is gold a hedge or a safe haven against stock markets? : evidence from conditional comoments
Ming, Lei
;
Yang, Ping
;
Liu, Qianqiu
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-23
Persistent link: https://www.econbiz.de/10014477120
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
A global monetary policy factor in sovereign bond yields
Malliaropulos, Dimitris
;
Migiakis, Petros
- In:
Journal of empirical finance
70
(
2023
),
pp. 445-465
Persistent link: https://www.econbiz.de/10014423743
Saved in:
5
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:
6
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:
7
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:
8
Is idiosyncratic risk priced? : the international evidence
Brockman, Paul
;
Guo, Tao
;
Vivero, Maria Gabriela
;
Yu, Wayne
- In:
Journal of empirical finance
66
(
2022
),
pp. 121-136
Persistent link: https://www.econbiz.de/10013370669
Saved in:
9
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:
10
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:
11
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:
12
Alpha momentum and alpha reversal in country and industry equity indexes
Zaremba, Adam
;
Umutlu, Mehmet
;
Karathanasopoulos, Andreas
- In:
Journal of empirical finance
53
(
2019
),
pp. 144-161
Persistent link: https://www.econbiz.de/10012171632
Saved in:
13
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:
14
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:
15
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:
16
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:
17
The re-pricing of sovereign risks following the Global Financial Crisis
Malliaropulos, Dimitris
;
Migiakis, Petros
- In:
Journal of empirical finance
49
(
2018
),
pp. 39-56
Persistent link: https://www.econbiz.de/10012117717
Saved in:
18
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:
19
Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Pan, Zhiyuan
;
Wang, Yudong
;
Wu, Chongfeng
;
Yin, Libo
- In:
Journal of empirical finance
43
(
2017
),
pp. 130-142
Persistent link: https://www.econbiz.de/10011817944
Saved in:
20
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:
21
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:
22
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:
23
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:
24
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:
25
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:
26
Basel II and regulatory arbitrage : evidence from financial crises
Beltratti, Andrea
;
Paladino, Giovanna
- In:
Journal of empirical finance
39
(
2016
),
pp. 180-196
Persistent link: https://www.econbiz.de/10011663832
Saved in:
27
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:
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
Volatility transmission in global financial markets
Clements, Adam
;
Hurn, Stan
;
Volkov, V. V.
- In:
Journal of empirical finance
32
(
2015
),
pp. 3-18
Persistent link: https://www.econbiz.de/10011556742
Saved in:
31
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:
32
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:
33
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:
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
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:
43
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:
44
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:
45
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:
46
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:
47
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:
48
Long memory and nonlinearity in conditional variances : a smooth transition FIGARCH model
Kiliç, Rehim
- In:
Journal of empirical finance
18
(
2011
)
2
,
pp. 368-378
Persistent link: https://www.econbiz.de/10009301107
Saved in:
49
Risk and return in convertible arbitrage : evidence from the convertible bond market
Agarwal, Vikas
;
Fung, William
;
Loon, Yee Cheng
;
Naik, …
- In:
Journal of empirical finance
18
(
2011
)
2
,
pp. 175-194
Persistent link: https://www.econbiz.de/10009301134
Saved in:
50
Country versus sector factors in equity returns : the roles of non-unit exposures
Moor, Lieven de
;
Sercu, Piet
- In:
Journal of empirical finance
18
(
2011
)
1
,
pp. 64-77
Persistent link: https://www.econbiz.de/10009301177
Saved in:
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