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ETFs and information asymmetry of underlying securities : evidence on the volume-conditioned return autocorrelation
Kang, Moonsoo
- In:
Applied economics
55
(
2023
)
46
,
pp. 5434-5450
Persistent link: https://www.econbiz.de/10014335213
Saved in:
2
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:
3
Time-series residual momentum strategies
Kim, Saejoon
- In:
Applied economics
54
(
2022
)
5
,
pp. 580-594
Persistent link: https://www.econbiz.de/10012874231
Saved in:
4
Spatial autocorrelation patterns among US commercial banks : before, during and after the subprime mortgage crisis
Parnes, Dror
- In:
Applied economics
54
(
2022
)
55
,
pp. 6339-6360
Persistent link: https://www.econbiz.de/10013411373
Saved in:
5
Predictive regression with p-lags and order-q autoregressive predictors
Jayetileke, Harshanie L.
;
Wang, You-Gan
;
Zhu, Min
- In:
Journal of empirical finance
62
(
2021
),
pp. 282-293
Persistent link: https://www.econbiz.de/10012693434
Saved in:
6
Beyond GDP : an analysis of the socio-economic diversity of European regions
Ayouba, Kassoum
;
Le Gallo, Julie
;
Vallone, Andrés
- In:
Applied economics
52
(
2020
)
9
,
pp. 1010-1029
Persistent link: https://www.econbiz.de/10012197498
Saved in:
7
Testing for explosive bubbles in the presence of autocorrelated innovations
Pedersen, Thomas Quistgaard
;
Montes Schütte, Erik Christian
- In:
Journal of empirical finance
58
(
2020
),
pp. 207-225
Persistent link: https://www.econbiz.de/10012430675
Saved in:
8
The influence of Taiwan's stock market on Bitcoin's price under Taiwan's monetary policy threshold
Yang, Lori Tzu-Yi
- In:
Applied economics
52
(
2020
)
45
,
pp. 4967-4975
Persistent link: https://www.econbiz.de/10012306523
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9
Some stylized facts of the cryptocurrency market
Zhang, Wei
;
Wang, Pengfei
;
Li, Xiao
;
Shen, Dehua
- In:
Applied economics
50
(
2018
)
55
,
pp. 5950-5965
Persistent link: https://www.econbiz.de/10012062951
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10
Is the ladder sticky? : measuring semi-parametrically state dependence in earnings mobility
Brodaty, Thibault
- In:
Applied economics
50
(
2018
)
2
,
pp. 143-156
Persistent link: https://www.econbiz.de/10011845929
Saved in:
11
Dynamic cross-autocorrelation in stock returns
Kinnunen, Jyri
- In:
Journal of empirical finance
40
(
2017
),
pp. 162-173
Persistent link: https://www.econbiz.de/10011744473
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12
Spatial fiscal interactions among French municipalities within inter-municipal groups
Breuillé, Marie-Laure
;
Le Gallo, Julie
- In:
Applied economics
49
(
2017
)
46
,
pp. 4617-4637
Persistent link: https://www.econbiz.de/10011844750
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13
Macroeconomic performance index : a new approach to calculation of economic wellbeing
Ekren, Nazım
;
Alp, Elçin Aykaç
;
Yağmur, Mete Han
- In:
Applied economics
49
(
2017
)
53
,
pp. 5462-5476
Persistent link: https://www.econbiz.de/10011845189
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14
Profit persistence and stock returns
Gschwandtner, Adelina
;
Hauser, Michael A.
- In:
Applied economics
48
(
2016
)
37/39
,
pp. 3538-3549
Persistent link: https://www.econbiz.de/10011620804
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15
Modeling corporate defaults : poisson autoregressions with exogenous covariates (PARX)
Agosto, Arianna
;
Cavaliere, Giuseppe
;
Kristensen, Dennis
; …
- In:
Journal of empirical finance
38
(
2016
),
pp. 640-663
Persistent link: https://www.econbiz.de/10011663393
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16
The out-of-sample forecasting performance of nonlinear models of regional housing prices in the US
Balcilar, Mehmet
;
Gupta, Rangan
;
Miller, Stephen M.
- In:
Applied economics
47
(
2015
)
22/24
,
pp. 2259-2277
Persistent link: https://www.econbiz.de/10010516653
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17
Robust tests for a linear trend with an application to equity indices
Astill, Sam
;
Harvey, David I.
;
Leybourne, Stephen James
; …
- In:
Journal of empirical finance
29
(
2014
),
pp. 168-185
Persistent link: https://www.econbiz.de/10011300487
Saved in:
18
Unit root vector autoregression with volatility induced stationarity
Bohn Nielsen, Heino
;
Rahbek, Anders
- In:
Journal of empirical finance
29
(
2014
),
pp. 144-167
Persistent link: https://www.econbiz.de/10011300499
Saved in:
19
Value at risk forecasts by extreme value models in a conditional duration framework
Herrera, Rodrigo
;
Schipp, Bernhard
- In:
Journal of empirical finance
23
(
2013
),
pp. 33-47
Persistent link: https://www.econbiz.de/10010221789
Saved in:
20
Autocorrelation and partial price adjustment
Anderson, Robert M.
;
Eom, Kyong Shik
;
Hahn, Sang Buhm
; …
- In:
Journal of empirical finance
24
(
2013
),
pp. 78-93
Persistent link: https://www.econbiz.de/10010371989
Saved in:
21
Are US stock index returns predictable? : evidence from automatic autocorrelation-based tests
Lim, Kian-Ping
;
Luo, Weiwei
;
Kim, Jae H.
- In:
Applied economics
45
(
2013
)
7/9
,
pp. 953-962
Persistent link: https://www.econbiz.de/10009718484
Saved in:
22
Population growth and local public finance in Japanese cities
Fukuda, Kosei
- In:
Applied economics
44
(
2012
)
13/15
,
pp. 1941-1949
Persistent link: https://www.econbiz.de/10009572908
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23
State dependence, serial correlation and heterogeneity in the union membership dynamics
Chang, Sheng-kai
- In:
Applied economics
44
(
2012
)
25/27
,
pp. 3453-3460
Persistent link: https://www.econbiz.de/10009619770
Saved in:
24
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:
25
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:
26
Stock return autocorrelations revisited : a quantile regression approach
Baur, Dirk G.
;
Dimpfl, Thomas
;
Jung, Robert
- In:
Journal of empirical finance
19
(
2012
)
2
,
pp. 254-265
Persistent link: https://www.econbiz.de/10009615707
Saved in:
27
Transaction duration and asymmetric price impact of trades : evidence from Australia
Yang, Joey Wenling
- In:
Journal of empirical finance
18
(
2011
)
1
,
pp. 91-102
Persistent link: https://www.econbiz.de/10009301172
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28
Structural breaks and smooth transition autoregressive processes : an application to the US stock value ratios
Yoon, Gawon
- In:
Applied economics
43
(
2011
)
16/18
,
pp. 2313-2320
Persistent link: https://www.econbiz.de/10009380059
Saved in:
29
Predictive regression with order-p autoregressive predictors
Amihud, Yakov
;
Hurvich, Clifford M.
;
Wang, Yi
- In:
Journal of empirical finance
17
(
2010
)
3
,
pp. 513-525
Persistent link: https://www.econbiz.de/10009267284
Saved in:
30
Autoregressive stochastic volatility models with heavy-tailed distributions : a comparison with multifactor volatility models
Asai, Manabu
- In:
Journal of empirical finance
15
(
2008
)
2
,
pp. 332-341
Persistent link: https://www.econbiz.de/10003699171
Saved in:
31
Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution
Chen, Carl R.
;
Su, Yuli
;
Huang, Ying
- In:
Journal of empirical finance
15
(
2008
)
4
,
pp. 789-798
Persistent link: https://www.econbiz.de/10003759773
Saved in:
32
The J-curve dynamics of Turkey : an application of ARDL model
Halicioglu, Ferda
- In:
Applied economics
40
(
2008
)
16/18
,
pp. 2423-2429
Persistent link: https://www.econbiz.de/10003760786
Saved in:
33
Autocorrelation, structural breaks and the predicitve ability of dividend yield
Chen, An-sing
;
Zhang, Tai-wei
- In:
Applied economics
39
(
2007
)
4/6
,
pp. 645-652
Persistent link: https://www.econbiz.de/10003461974
Saved in:
34
Sources of contrarian profits in the Japanese stock market
Chou, Pin-huang
;
Wei, K. C. John
;
Chung, Huimin
- In:
Journal of empirical finance
14
(
2007
)
3
,
pp. 261-286
Persistent link: https://www.econbiz.de/10003609830
Saved in:
35
The competitive environment hypothesis revisited : non-linearity, nonstationarity and profit persistence
Crespo Cuaresma, Jesús
;
Gschwandtner, Adelina
- In:
Applied economics
38
(
2006
)
4
,
pp. 465-472
Persistent link: https://www.econbiz.de/10003298862
Saved in:
36
A re-examination of the asymmetric power ARCH model
Karanasos, Menelaos
;
Kim, Jinki
- In:
Journal of empirical finance
13
(
2006
)
1
,
pp. 113-128
Persistent link: https://www.econbiz.de/10003278634
Saved in:
37
Index futures and positive feedback trading : evidence from major stock exchanges
Antoniou, Antonios
;
Koutmos, Gregory
;
Pericli, Andreas …
- In:
Journal of empirical finance
12
(
2005
)
2
,
pp. 219-238
Persistent link: https://www.econbiz.de/10002685067
Saved in:
38
The effect of the GARCH (1,1) on autocorrelation tests in dynamic systems of equations
Mantalos, Panagiotis
;
Shukur, Ghazi
- In:
Applied economics
37
(
2005
)
16
,
pp. 1907-1913
Persistent link: https://www.econbiz.de/10003142938
Saved in:
39
Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns
Granger, C. W. J.
;
Hyung, Namwon
- In:
Journal of empirical finance
11
(
2004
)
3
,
pp. 399-421
Persistent link: https://www.econbiz.de/10002050373
Saved in:
40
Industry momentum strategies and autocorrelations in stock returns
Pan, Ming-Shiun
;
Liano, Kartono
;
Huang, Gow-Cheng
- In:
Journal of empirical finance
11
(
2004
)
2
,
pp. 185-202
Persistent link: https://www.econbiz.de/10001981299
Saved in:
41
The inadequacy of linear autoregressive model for real exchange rates : empirical evidence from Asian economies
Liew, Venus Khim-sen
;
Chong, Terence Tai-Leung
;
Lim, …
- In:
Applied economics
35
(
2003
)
12
,
pp. 1387-1392
Persistent link: https://www.econbiz.de/10001804522
Saved in:
42
Mean revision in target zones : a re-examination of some ERM exchange rates
Pattichis, Charalambos
- In:
Applied economics
34
(
2002
)
9
,
pp. 1141-1145
Persistent link: https://www.econbiz.de/10001676710
Saved in:
43
A lagged dependent variable, autocorrelated disturbances, and unit root tests - peculiar OLS bias properties - a pedagogical note
Maeshiro, Asatoshi
- In:
Applied economics
31
(
1999
)
3
,
pp. 381-396
Persistent link: https://www.econbiz.de/10001364531
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