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Cross-asset time-series momentum : crude oil volatility and global stock markets
Fernandez-Perez, Adrian; Indriawan, Ivan; Tse, Yiuman; … - In: Journal of banking & finance 154 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014492117
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Are there exploitable trends in commodity futures prices?
Han, Yufeng; Hu, Ting; Yang, Jian - In: Journal of banking & finance 70 (2016), pp. 214-234
Persistent link: https://www.econbiz.de/10011635208
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The predictive performance of commodity futures risk factors
Ahmed, Shamim; Tsvetanov, Daniel - In: Journal of banking & finance 71 (2016), pp. 20-36
Persistent link: https://www.econbiz.de/10011635309
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The impact of settlement time on the volatility of stock markets
Li, Dong - In: Applied financial economics 7 (1997) 6, pp. 689-694
Persistent link: https://www.econbiz.de/10001240752
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Augmented ARCH models for financial time series : stability conditions and empirical evidence
Kunst, Robert M. - In: Applied financial economics 7 (1997) 6, pp. 575-586
Persistent link: https://www.econbiz.de/10001240823
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Modeling interest rate volatility : a Realized GARCH approach
Tian, Shuairu; Hamori, Shigeyuki - In: Journal of banking & finance 61 (2015), pp. 158-171
Persistent link: https://www.econbiz.de/10011545170
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Is volatility clustering of asset returns asymmetric?
Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - In: Journal of banking & finance 52 (2015), pp. 62-76
Persistent link: https://www.econbiz.de/10011377303
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Profitability of time series momentum
He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157
Persistent link: https://www.econbiz.de/10011377714
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Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
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Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel; Perote, Javier - In: Journal of banking & finance 72 (2016), pp. 216-232
Persistent link: https://www.econbiz.de/10011637138