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Short-term residual reversal
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Time series analysis
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Econometric reviews
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Applied economics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Applied economics letters
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Computational economics
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Journal of applied econometrics
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Journal of empirical finance
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Energy economics
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NBER working paper series
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Finance research letters
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Cowles Foundation discussion paper
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Working paper / National Bureau of Economic Research, Inc.
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Oxford bulletin of economics and statistics
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CESifo working papers
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60
Discussion papers of interdisciplinary research project 373
59
International review of financial analysis
55
The econometrics journal
55
Série des documents de travail / Centre de Recherche en Économie et Statistique
54
EUI working paper / ECO
52
The North American journal of economics and finance : a journal of financial economics studies
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International review of economics & finance : IREF
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ECONIS (ZBW)
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EconStor
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1
RePEc
1
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1
Testing for Regime Changes in Portfolios with a Large Number of Assets : A Robust Approach to Factor Heteroskedasticity
Massacci, Daniele
-
2020
We develop a new test for threshold-type regime changes in the
risk
exposures in portfolios with a large number of …
Persistent link: https://www.econbiz.de/10012853517
Saved in:
2
An explanation for momentum with a rational model under symmetric information - Evidence from cross country equity markets
Koziol, Christian
;
Proelss, Juliane
- In:
Journal of international financial markets, …
70
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012668191
Saved in:
3
Time-series momentum in nearly 100 years of stock returns
Lim, Bryan Y.
;
Wang, Jiaguo
;
Yao, Yaqiong
- In:
Journal of banking & finance
97
(
2018
),
pp. 283-296
Persistent link: https://www.econbiz.de/10011968748
Saved in:
4
Examining the sources of excess return predictability : stochastic volatility or market inefficiency?
Lansing, Kevin J.
;
LeRoy, Stephen F.
;
Ma, Jun
-
2018
Persistent link: https://www.econbiz.de/10011977460
Saved in:
5
The trend is your friend : time-series momentum strategies across equity and commodity markets
Georgopoulou, Athina
;
Wang, Jiaguo
- In:
Review of finance : journal of the European Finance …
21
(
2017
)
4
,
pp. 1557-1592
Persistent link: https://www.econbiz.de/10011804328
Saved in:
6
Examining the sources of excess return predictability : stochastic volatility or market inefficiency?
Lansing, Kevin J.
;
LeRoy, Stephen F.
;
Ma, Jun
- In:
Journal of economic behavior & organization : JEBO
197
(
2022
),
pp. 50-72
Persistent link: https://www.econbiz.de/10013383142
Saved in:
7
Persistence of shocks in CDS returns on Croatian bonds : quantile autoregression approach
Bošnjak, Mile
;
Novak, Ivan
;
Bašić, Maja
- In:
Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis …
37
(
2019
)
2
,
pp. 759-775
Persistent link: https://www.econbiz.de/10012213680
Saved in:
8
Efficiency drifts in euronext stock indexes returns
Gomes, Luís M. P.
;
Soares, Vasco J. S.
;
Gama, Sílvio M. A.
- In:
International journal of business
27
(
2022
)
2
,
pp. 28-44
Persistent link: https://www.econbiz.de/10013395911
Saved in:
9
Long memory and stock market efficiency : case of Saudi Arabia
Lamouchi, Rim Ammar
- In:
International journal of economics and financial issues …
10
(
2020
)
3
,
pp. 29-34
Persistent link: https://www.econbiz.de/10012215228
Saved in:
10
Long memory and efficiency of Bitcoin under heavy tails
Wu, Liang
;
Chen, Shujuan
- In:
Applied economics
52
(
2020
)
48
,
pp. 5298-5309
Persistent link: https://www.econbiz.de/10012307228
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