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Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …

Persistent link: https://www.econbiz.de/10012042424

Long-term performance evaluation : methodological issues and empirical applications

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Dynamic heterogeneous panel analysis of the correlation between stock prices and exchange rates

Lee, Yuan-Ming; Wang, Kuan Min - In: Economic research 28 (2015) 1, pp. 749-772

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Panel causality analysis between exchange rates and stock indexes for fragile five

Pekkaya, Mehmet; Açikgöz, Ersin; Yilanci, Veli - In: Theoretical and applied economics : GAER review 24 (2017) 2, pp. 33-44

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Stock market volatility and international business cycle dynamics : evidence from OECD economies

Vu, Nam T. - In: Journal of international money and finance 50 (2015), pp. 1-15

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Are stock prices related to the political uncertainty index in OECD countries? : evidence from the bootstrap panel causality test

Chang, Tsangyao; Chen, Wen-Yi; Gupta, Rangan; Nguyen, … - In: Economic systems 39 (2015) 2, pp. 288-300

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Do macroeconomic factors matter for stock prices in emerging countries? : evidence from panel cointegration and panel causality

Mohapatra, Sonali Madhusmita; Rath, Badri Narayan - In: International journal of sustainable economy 7 (2015) 2, pp. 140-154

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Time-varying comovement and changes of comovement structure in the Chinese stock market : a causal network method

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Does the stock market really cause unemployment? : a cross-country analysis

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Inter-linkages between liquidity and stock returns : an empirical investigation through panel cointegration

Saeed, Sadia; Hassan, Arshad - In: Pakistan journal of commerce and social sciences 12 (2018) 2, pp. 617-637

error correction model have been applied in panel data setting. The Pedroni cointegration analysis provides evidence about …

Persistent link: https://www.econbiz.de/10011934263