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Testing for constant correlation of filtered series under structural change

Demetrescu, Matei; Wied, Dominik - In: The econometrics journal 22 (2019) 1, pp. 10-33

Persistent link: https://www.econbiz.de/10012166648

An adaptive long memory conditional correlation model

Dark, Jonathan - In: Journal of empirical finance 75 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014491877

When "time varying" volatility meets "transaction cost" in portfolio selection

Qiao, W.; Bu, Di; Gibberd, Alex J.; Liao, Yin; Wen, Ting; … - In: Journal of empirical finance 73 (2023), pp. 220-237

Persistent link: https://www.econbiz.de/10014477015

Alternative dimensional reduction methods on the example of data preprocessing to build a ship exhaust model

Dramski, Mariusz; Mąka, Marcin - In: European research studies 25 (2022) 2, pp. 587-596

Persistent link: https://www.econbiz.de/10013532054

Correlation estimation in hybrid systems

Law, Baron - In: International journal of theoretical and applied … 26 (2023) 2/3, pp. 1-22

Persistent link: https://www.econbiz.de/10014365674

The analysis of nonstationary time series using regression, correlation and cointegration

Johansen, Søren - In: Contemporary economics 6 (2012) 2, pp. 40-57

There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse …

Persistent link: https://www.econbiz.de/10009767620

A multivariate pure-jump model with multi-factorial dependence structure

Marfè, Roberto - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10009624464

Correlation under stress in normal variance mixture models

Kalkbrener, Michael; Packham, Natalie - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 426-456

Persistent link: https://www.econbiz.de/10011350602

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …

Persistent link: https://www.econbiz.de/10011862130

Correlation or causation? : the sorry state of inference in empirical modeling

Dong, Xiaojing; Heineke, John - In: Journal of investment management : JOIM 14 (2016) 3, pp. 62-73

Persistent link: https://www.econbiz.de/10011691119