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subject:"Zeitreihenanalyse"
subject:"Forecasting model"
~source:"econis"
~isPartOf:"Journal of banking & finance"
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Zeitreihenanalyse
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126
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ECONIS (ZBW)
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1
The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper
;
Kjær, Mads Markvart
; …
- In:
Journal of banking & finance
155
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014490508
Saved in:
2
Does public corruption affect analyst forecast quality?
El Ghoul, Sadok
;
Guedhami, Omrane
;
Wei, Zuobao
;
Zhu, Yicheng
- In:
Journal of banking & finance
154
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014486661
Saved in:
3
Why does option-implied volatility forecast realized volatility? : evidence from news events
Chen, Sipeng
;
Li, Gang
- In:
Journal of banking & finance
156
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014487208
Saved in:
4
Downside variance premium, firm fundamentals, and expected corporate bond returns
Huang, Tao
;
Jiang, Liang
;
Li, Junye
- In:
Journal of banking & finance
154
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014488900
Saved in:
5
The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène
;
Power, Gabriel J.
;
Toupin, Dominique
- In:
Journal of banking & finance
146
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014248207
Saved in:
6
Foreign exchange exposure and analysts' earnings forecasts
Yusoff, Iliyas
;
Chen, Chen
;
Lai, Karen
;
Naiker, Vic
; …
- In:
Journal of banking & finance
146
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014248219
Saved in:
7
So sue me! : the cross section of stock returns related to patent infringement allegations
Bereskin, Fred
;
Hsu, Po-Hsuan
;
Latham, William R.
; …
- In:
Journal of banking & finance
148
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014248279
Saved in:
8
Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium
Park, Sunjin
- In:
Journal of banking & finance
136
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013448752
Saved in:
9
The correlation risk premium : international evidence
Faria, Gonçalo
;
Kosowski, Robert L.
;
Wang, Tianyu
- In:
Journal of banking & finance
136
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013448802
Saved in:
10
Return decomposition over the business cycle
Cenesizoglu, Tolga
- In:
Journal of banking & finance
143
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013533426
Saved in:
11
The illusion of oil return predictability : the choice of data matters!
Conlon, Thomas
;
Cotter, John
;
Eyiah-Donkor, Emmanuel
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013400116
Saved in:
12
A bank's optimal capital ratio : a time-varying parameter model to the partial adjustment framework
Baik, Hyeoncheol
;
Han, Sumin
;
Joo, Sunghoon
;
Lee, Kangbok
- In:
Journal of banking & finance
142
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013473072
Saved in:
13
Life-cycle portfolio choice with imperfect predictors
Michaelides, Alexander G.
;
Zhang, Yuxin
- In:
Journal of banking & finance
135
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013401786
Saved in:
14
Unemployment and aggregate stock returns
Atanasov, Victoria
- In:
Journal of banking & finance
129
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012822081
Saved in:
15
Breaking VIX at open : Evidence of uncertainty creation and resolution
Chen, Jingjing
;
Jiang, George J.
;
Yuan, Chaowen
;
Zhu, …
- In:
Journal of banking & finance
124
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012816579
Saved in:
16
The ordering of historical returns and the cross-section of subsequent returns
Mohrschladt, Hannes
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012819532
Saved in:
17
Local logit regression for loan recovery rate
Sopitpongstorn, Nithi
;
Silvapulle, Paramsothy
;
Gao, Jiti
; …
- In:
Journal of banking & finance
126
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012820172
Saved in:
18
Liquidity and the cross-section of international stock returns
Cakici, Nusret
;
Zaremba, Adam
- In:
Journal of banking & finance
127
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012820574
Saved in:
19
Downside risk and the cross-section of cryptocurrency returns
Zhang, Wei
;
Li, Yi
;
Xiong, Xiong
;
Wang, Pengfei
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256328
Saved in:
20
Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Merlo, Luca
;
Petrella, Lea
;
Raponi, Valentina
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256440
Saved in:
21
Aggregate distress risk and equity returns
Guo, Hui
;
Jiang, Xiaowen
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013257367
Saved in:
22
Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013257376
Saved in:
23
Modeling asset returns under time-varying semi-nonparametric distributions
León Valle, Ángel Manuel
;
Ñíguez, Trino-Manuel
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012520880
Saved in:
24
Local demand shocks, excess comovement and return predictability
Broman, Markus S.
- In:
Journal of banking & finance
119
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521271
Saved in:
25
Where have the profits gone? : market efficiency and the disappearing equity anomalies in country and industry returns
Zaremba, Adam
;
Umutlu, Mehmet
;
Maydybura, Alina
- In:
Journal of banking & finance
121
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012521610
Saved in:
26
Factor based commodity investing
Sakkas, Athanasios
;
Tessaromatis, Nikolaos P.
- In:
Journal of banking & finance
115
(
2020
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012489156
Saved in:
27
Forecasting short-run exchange rate volatility with monetary fundamentals : a GARCH-MIDAS approach
You, Yu
;
Liu, Xiaochun
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012489245
Saved in:
28
Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices
Liao, Yin
;
Anderson, Heather M.
- In:
Journal of banking & finance
99
(
2019
),
pp. 252-274
Persistent link: https://www.econbiz.de/10012162415
Saved in:
29
Option-Implied variance asymmetry and the cross-section of stock returns
Huang, Tao
;
Li, Junye
- In:
Journal of banking & finance
101
(
2019
),
pp. 21-36
Persistent link: https://www.econbiz.de/10012162590
Saved in:
30
A new measure of financial constraints applicable to private and public firms
Schauer, Catharina
;
Elsas, Ralf
;
Breitkopf, Nikolas
- In:
Journal of banking & finance
101
(
2019
),
pp. 270-295
Persistent link: https://www.econbiz.de/10012162705
Saved in:
31
Country-level analyst recommendations and international stock market returns
Berkman, Henk
;
Yang, Wanyi
- In:
Journal of banking & finance
103
(
2019
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012163765
Saved in:
32
Put-call parity violations and return predictability : evidence from the 2008 short sale ban
Nishiotis, George P.
;
Rompolis, Leonidas S.
- In:
Journal of banking & finance
106
(
2019
),
pp. 276-297
Persistent link: https://www.econbiz.de/10012224284
Saved in:
33
Characterizing the financial cycle : evidence from a frequency domain analysis
Strohsal, Till
;
Proaño Acosta, Christian
;
Wolters, Jürgen
- In:
Journal of banking & finance
106
(
2019
),
pp. 568-591
Persistent link: https://www.econbiz.de/10012224351
Saved in:
34
Aggregate investor sentiment and stock return synchronicity
Chue, Timothy K.
;
Gul, Ferdinand A.
;
Mian, G. Mujtaba
- In:
Journal of banking & finance
108
(
2019
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012224687
Saved in:
35
Implied volatility surface predictability : the case of commodity markets
Kearney, Fearghal
;
Shang, Han Lin
;
Sheenan, Lisa
- In:
Journal of banking & finance
108
(
2019
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012224756
Saved in:
36
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Saved in:
37
Economic activity and momentum profits : further evidence
Maio, Paulo
;
Philip, Dennis
- In:
Journal of banking & finance
88
(
2018
),
pp. 466-482
Persistent link: https://www.econbiz.de/10011962964
Saved in:
38
Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan
;
Chiang, Thomas C.
;
Härdle, Wolfgang
- In:
Journal of banking & finance
93
(
2018
),
pp. 21-32
Persistent link: https://www.econbiz.de/10011964613
Saved in:
39
Unobservable systematic risk, economic activity and stock market
De Santis, Roberto A.
- In:
Journal of banking & finance
97
(
2018
),
pp. 51-69
Persistent link: https://www.econbiz.de/10011967305
Saved in:
40
Time-series momentum in nearly 100 years of stock returns
Lim, Bryan Y.
;
Wang, Jiaguo
;
Yao, Yaqiong
- In:
Journal of banking & finance
97
(
2018
),
pp. 283-296
Persistent link: https://www.econbiz.de/10011968748
Saved in:
41
Do extreme returns matter in emerging markets? : evidence from the Chinese stock market
Nartea, Gilbert V.
;
Kong, Dongmin
;
Wu, Ji
- In:
Journal of banking & finance
76
(
2017
),
pp. 189-197
Persistent link: https://www.econbiz.de/10011814322
Saved in:
42
Dividends, earnings, and predictability
Møller, Stig Vinther
;
Sander, Magnus
- In:
Journal of banking & finance
78
(
2017
),
pp. 153-163
Persistent link: https://www.econbiz.de/10011815127
Saved in:
43
The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises
Avouyi-Dovi, Sanvi
;
Horny, Guillaume
;
Sevestre, Patrick
- In:
Journal of banking & finance
79
(
2017
),
pp. 74-94
Persistent link: https://www.econbiz.de/10011815138
Saved in:
44
Do oil futures prices predict stock returns?
Chiang, I-Hsuan Ethan
;
Hughen, W. Keener
- In:
Journal of banking & finance
79
(
2017
),
pp. 129-141
Persistent link: https://www.econbiz.de/10011815141
Saved in:
45
The impact of monetary policy on corporate bonds under regime shifts
Guidolin, Massimo
;
Orlov, Alexei G.
;
Pedio, Manuela
- In:
Journal of banking & finance
80
(
2017
),
pp. 176-202
Persistent link: https://www.econbiz.de/10011816268
Saved in:
46
Unfolded risk-return trade-offs and links to Macroeconomic Dynamics
Liu, Xiaochun
- In:
Journal of banking & finance
82
(
2017
),
pp. 1-19
Persistent link: https://www.econbiz.de/10011816457
Saved in:
47
Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of banking & finance
83
(
2017
),
pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
Saved in:
48
Unemployment fluctuations and the predictability of currency returns
Nucera, Federico
- In:
Journal of banking & finance
84
(
2017
),
pp. 88-106
Persistent link: https://www.econbiz.de/10011816838
Saved in:
49
Stock return predictability and investor sentiment : a high-frequency perspective
Sun, Licheng
;
Najand, Mohammad
;
Shen, Jiancheng
- In:
Journal of banking & finance
73
(
2016
),
pp. 147-164
Persistent link: https://www.econbiz.de/10011635681
Saved in:
50
Forecasting realized volatility in a changing world : a dynamic model averaging approach
Wang, Yudong
;
Ma, Feng
;
Wei, Yu
;
Wu, Chongfeng
- In:
Journal of banking & finance
64
(
2016
),
pp. 136-149
Persistent link: https://www.econbiz.de/10011634282
Saved in:
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