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Long-run drift, co-movement and persistence in real wheat and maize prices

Newbold, Paul; Rayner, Anthony J.; Kellard, Neil - In: Journal of agricultural economics 51 (2000) 1, pp. 106-121

Persistent link: https://www.econbiz.de/10001449573

Commodity futures returns : more memory than you might think!

Coakley, Jerry; Kellard, Neil; Wang, Jian - In: The European journal of finance 22 (2016) 13/15, pp. 1457-1483

Persistent link: https://www.econbiz.de/10011715477

Multistage optimization filter for trend-based short-term forecasting

Zafar, Usman; Kellard, Neil; Vinogradov, Dmitri V. - In: Journal of forecasting 41 (2022) 2, pp. 345-360

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Using covariates to improve the efficacy of univariate bubble detection methods

Astill, Sam; Taylor, Robert; Kellard, Neil; Korkos, Ioannis - In: Journal of empirical finance 70 (2023), pp. 342-366

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Nonlinear modelling of high frequency financial time series

Dunis, Christian (ed.); Zhou, Bin (contributor) - 1998

Persistent link: https://www.econbiz.de/10013491172

Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities

Rudy, Jozef - 2013

The motivation for this paper is to apply a statistical arbitrage technique of pairs trading to high-frequency equity data and compare its profit potential to the standard sampling frequency of daily closing prices. We use a simple trading strategy to evaluate the profit potential of the data...

Persistent link: https://www.econbiz.de/10013081228

Nonlinear forecasting of the Gold Miner Spread : an application of correlations filters

Dunis, Christian; Laws, Jason; Middleton, Peter W.; … - In: Intelligent systems in accounting finance and … 20 (2013) 4, pp. 207-231

Persistent link: https://www.econbiz.de/10010233196

Volatility filters for FX portfolios trading : the impact of alternative volatility models

Miao, Jianjun; Dunis, Christian - In: Applied financial economics letters 2 (2006) 6, pp. 389-394

Persistent link: https://www.econbiz.de/10003397275

The economic value of advanced time series methods for modelling and trading 10-year government bonds

Dunis, Christian; Morrison, Vincent - In: The European journal of finance 13 (2007) 3/4, pp. 333-352

Persistent link: https://www.econbiz.de/10003550391

Unobserved components in an error-correction model of consumption for Southern European countries

Sarantis, Nicholas; Stewart, Chris - In: Empirical economics : a journal of the Institute for … 26 (2001) 2, pp. 391-405

Persistent link: https://www.econbiz.de/10001579906