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Antonakakis, Nikolaos; Gupta, Rangan; Tiwari, Aviral Kumar - In: Economic systems 41 (2017) 1, pp. 98-108

Persistent link: https://www.econbiz.de/10011793897

Presidential cycles and time-varying bond-stock market correlations : evidence from more than two centuries of data

Demirer, Rıza; Gupta, Rangan - In: Economics letters 167 (2018), pp. 36-39

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Herding, a-synchronous updating and heterogeneity in memory in a CBS

Diks, Cees G. H.; Weide, Roy van der - 2003

This paper considers a simple Continuous Beliefs System (CBS) toinvestigate the effects on price dynamics of several behavioralassumptions: (i) herd behaviour; (ii) a-synchronous updating ofbeliefs; and (iii) heterogeneity in time horizons (memory) amongagents. The recently introduced concept of...

Persistent link: https://www.econbiz.de/10011334332

Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals

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Persistent link: https://www.econbiz.de/10012064840

Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals

Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 216 (2020) 1, pp. 4-34

Persistent link: https://www.econbiz.de/10012439634

Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction

Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417

Persistent link: https://www.econbiz.de/10012145042

A component Markov regime-switching autoregressive conditional range model

Harris, Richard D. F.; Mazibas, Murat - In: Bulletin of economic research 74 (2022) 2, pp. 650-683

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Volatility of a Market Index and its Components: An Application to Commodity Markets

WATKINS, Clinton; McALEER, Michael - Society for Computational Economics - SCE - 2002

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Predicting the volatility of the Russell 3000 stock index

Xiao, Bing - In: International journal of financial research 7 (2016) 4, pp. 18-28

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The business cycle and impacts of economic news on financial markets

Cakan, Esin - In: Journal of business & economics research 10 (2012) 6, pp. 385-390

Persistent link: https://www.econbiz.de/10009567443