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Stock returns and long-range dependence
Odonkor, Alexander Ayertey; Ababio, Emmanuel Nkrumah; … - In: Global business review 23 (2022) 1, pp. 37-47
Persistent link: https://www.econbiz.de/10012822065
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Stock index volatility forecasting with high frequency data
Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002
Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … outperforms the GARCH model. …
Persistent link: https://www.econbiz.de/10011326944
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Multiperiod portfolio allocation : a study of volatility clustering, non-normalities and predictable returns
Simonato, Jean-Guy; Denault, Michel - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014486271
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Bayesian model averaging and the conditional volatility process : an application to predicting aggregate equity returns by conditioning on economic variables
Nonejad, Nima - In: Quantitative finance 21 (2021) 8, pp. 1387-1411
Persistent link: https://www.econbiz.de/10012608655
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Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions
Nonejad, Nima - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 973-1009
Persistent link: https://www.econbiz.de/10012616915
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Momentum and reversal : information from prior returns
Kolari, James W.; Shin, Sang-Ook - In: Applied economics 56 (2024) 3, pp. 318-336
Persistent link: https://www.econbiz.de/10014439916
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Three essays on predictability and seasonality in the cross-section of stock returns
Bogousslavsky, Vincent - 2017
Persistent link: https://www.econbiz.de/10011903110
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Cross-sectional factor dynamics and momentum returns
Avramov, Doron; Hore, Satadru - In: Journal of financial markets 32 (2017), pp. 69-96
Persistent link: https://www.econbiz.de/10011814969
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Optimal markowitz portfolio using returns forecasted with time series and machine learning models
Ślusarczyk, Damian; Ślepaczuk, Robert - 2023
Persistent link: https://www.econbiz.de/10014446491
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Modeling latent variables in economics and finance
Bluteau, Keven - 2019
–regime and Markov-switching GARCH (MSGARCH) models, from a risk management perspective. I find that, for daily, weekly, and ten … étude à grande échelle empirique pour comparer la` performance de prévision de modèle GARCH sans changement de régime et de … modèle GARCH à changement de régimes Markovien (MSGARCH) du point de vue d’un gestionnaire des risques. Les résultats …
Persistent link: https://www.econbiz.de/10012055679