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isPartOf:"The financial review : the official publication of the Eastern Finance Association"
~isPartOf:"Economic modelling"
~subject:"Time series analysis"
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Time series analysis
Börsenkurs
400
Share price
400
Aktienmarkt
139
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139
Capital income
124
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124
Volatility
106
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Kumar, Dilip
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1
Aragó, Vicent
1
Baruník, Jozef
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The financial review : the official publication of the Eastern Finance Association
Economic modelling
Journal of econometrics
41
Journal of empirical finance
31
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
24
Journal of risk and financial management : JRFM
20
Economics letters
18
International review of economics & finance : IREF
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Applied economics
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Discussion paper / Tinbergen Institute
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International review of financial analysis
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The North American journal of economics and finance : a journal of financial economics studies
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Applied financial economics
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Energy economics
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Finance research letters
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SFB 649 discussion paper
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Research in international business and finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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NBER working paper series
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of financial economics
10
Journal of international financial markets, institutions & money
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Journal of economic dynamics & control
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Journal of international money and finance
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The empirical economics letters : a monthly international journal of economics
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Cambridge working papers in economics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of economics and financial issues : IJEFI
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ECONIS (ZBW)
29
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1
Testing factor models when asset bubbles occur : a time-varying perspective
Yu, Lu
;
Li, Yanglin
- In:
Economic modelling
124
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014463291
Saved in:
2
A regime-switching model of stock returns with momentum and mean reversion
Giner, Javier
;
Zakamulin, Valeriy
- In:
Economic modelling
122
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014388630
Saved in:
3
The distribution of index futures realised volatility under seasonality and microstructure noise
Alemany, Nuria
;
Aragó, Vicent
;
Salvador, Enrique
- In:
Economic modelling
93
(
2020
),
pp. 398-414
Persistent link: https://www.econbiz.de/10012430196
Saved in:
4
Forecasting stock market volatility : the role of technical variables
Liu, Li
;
Pan, Zhiyuan
- In:
Economic modelling
84
(
2020
),
pp. 55-65
Persistent link: https://www.econbiz.de/10012210290
Saved in:
5
Oil price and Gulf Corporation Council stock indices : new evidence from time-varying copula models
Fenech, Jean-Pierre
;
Vosgha, Hamed
- In:
Economic modelling
77
(
2019
),
pp. 81-91
Persistent link: https://www.econbiz.de/10012198426
Saved in:
6
The comovement and causality between stock market cycle and business cycle in China : evidence from a wavelet analysis
Si, Dengkui
;
Liu, Xi-Hua
;
Kong, Xianli
- In:
Economic modelling
83
(
2019
),
pp. 17-30
Persistent link: https://www.econbiz.de/10012204412
Saved in:
7
High-dimensional covariance forecasting based on principal component analysis of high-frequency data
Jian, Zhihong
;
Deng, Pingjun
;
Zhu, Zhican
- In:
Economic modelling
75
(
2018
),
pp. 422-431
Persistent link: https://www.econbiz.de/10012101548
Saved in:
8
The intraday directional predictability of large Australian stocks : a cross-quantilogram analysis
Todorova, Neda
- In:
Economic modelling
64
(
2017
),
pp. 221-230
Persistent link: https://www.econbiz.de/10011760907
Saved in:
9
Co-movement of ASEAN stock markets : new evidence from wavelet and VMD-based copula tests
Jiang, Yonghong
;
Nie, He
;
Monginsidi, Joe Yohanes
- In:
Economic modelling
64
(
2017
),
pp. 384-398
Persistent link: https://www.econbiz.de/10011761283
Saved in:
10
Can asymmetric conditional volatility imply asymmetric tail dependence?
Kim, Jong-Min
;
Jung, Hojin
- In:
Economic modelling
64
(
2017
),
pp. 409-418
Persistent link: https://www.econbiz.de/10011761287
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