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isPartOf:"Cowles Foundation discussion paper"
~isPartOf:"Applied financial economics"
~isPartOf:"International review of financial analysis"
~subject:"Autokorrelation"
~subject:"Capital income"
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Phillips, Peter C. B.
9
Lieberman, Offer
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Sun, Yixiao
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Cowles Foundation discussion paper
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54
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1
Weak identification of long memory with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013326614
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2
Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect
Pourkhanali, Armin
;
Tafakori, Laleh
;
Bee, Marco
- In:
International review of financial analysis
89
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014467094
Saved in:
3
High frequency correlation dynamics and day-of-the-week effect : a score-driven approach in an emerging market stock exchange
Bahcivan, Hulusi
;
Karahan, Cenk C.
- In:
International review of financial analysis
80
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013366247
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4
Cross-sectional seasonalities and seasonal reversals : evidence from China
Guo, Shuxin
;
Yuan, Yue
;
Ma, Feng
- In:
International review of financial analysis
82
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013426257
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5
Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution
Song, Shijia
;
Li, Handong
- In:
International review of financial analysis
82
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013426497
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6
Time series momentum in the US stock market : empirical evidence and theoretical analysis
Zakamulin, Valeriy
;
Giner, Javier
- In:
International review of financial analysis
82
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013426503
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7
Temporal aggregation of the Aumann-Serrano and Foster-Hart performance indexes
Hodoshima, Jiro
;
Yamawake, Toshiyuki
- In:
International review of financial analysis
83
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013454995
Saved in:
8
The effects of overnight events on daytime trading sessions
Ham, Hyuna
;
Ryu, Doojin
;
Webb, Robert I.
- In:
International review of financial analysis
83
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013455003
Saved in:
9
Are carry, momentum and value still there in currencies?
Hutchinson, Mark
;
Kyziropoulos, Panagiotis E.
;
O'Brien, John
- In:
International review of financial analysis
83
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013455045
Saved in:
10
Robust tests for white noise and cross-correlation
Dalla, Violetta
;
Giraitis, Liudas
;
Phillips, Peter C. B.
-
2019
Persistent link: https://www.econbiz.de/10012062428
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