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The effect of equity market uncertainty on informational efficiency : cross-sectional evidence
Frijns, Bart; Indriawan, Ivan; Tourani Rad, Alireza; … - In: Global finance journal 57 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014479121
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How much bang for the buck? : Mexico and dollarization
Levine, Ross; Carkovic, Maria Vicenta - In: Journal of money, credit and banking : JMCB 33 (2001) 2,2, pp. 339-363
Persistent link: https://www.econbiz.de/10001580602
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Testing for non-correlation between price and volatility jumps
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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Macroeconomic news and treasury futures return volatility : do treasury auctions matter?
Smales, L. A. - In: Global finance journal 48 (2021), pp. 1-30
Persistent link: https://www.econbiz.de/10012886875
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Liquidity and short-run predictability : evidence from international stock markets
Park, Jin Suk; Newaz, Mohammad Khaleq - In: Global finance journal 50 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013365689
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US macroeconomic news effects around the US and European financial crises : evidence from Brazilian and Mexican equity indices
Hussain, Syed Mujahid; Ben Omrane, Walid; Al-Yahyaee, … - In: Global finance journal 46 (2020)
Persistent link: https://www.econbiz.de/10012503405