Nothing Special   »   [go: up one dir, main page]

create a website
Fiscal Policy and the Term Premium in Real Interest Rate Differentials. (1998). Flavin, Thomas ; Limosani, Michele G..
In: Economics, Finance and Accounting Department Working Paper Series.
RePEc:may:mayecw:n830498.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 13

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. [1] Bollerslev, T. (1986) A Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31, 307-327.

  2. [10] Limosani M. and M. R. Wickens (1998) What explains Real Interest rate dierentials across European countries? Further empirical analysis. Unpublished paper, University of York.
    Paper not yet in RePEc: Add citation now
  3. [11] Markowitz, H.M. (1952) Portfolio Selection, Journal of Finance, 46, 469477.

  4. [12] Thomas, S.H. and M.R. Wickens (1993) An International CAPM for Bonds and Equities, Journal of International Money and Finance, 12, 390-412.

  5. [13] Tobin J. (1958) Liquidity preference as behaviour torward risk, Review of Economic Studies, 25, 65-86.

  6. [14] Tobin J. (1982) Money and ...nance in the macroeconomic process, Journal

  7. [2] Clare, A.D., R.OBrien, S.H. Thomas and M.R. Wickens (1993) Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stockmarket. University of York, working paper 94/10.

  8. [3] Constantinides, G.M. and A.G. Mallaris (1995) Portfolio Theory in R.A. Jarrow, V. Maksimovic and W.T. Ziemba(eds) Handbook of Finance. North Holland.
    Paper not yet in RePEc: Add citation now
  9. [4] Cuthbertson, K. (1996) Quantitative Financial Economics. John Wiley & Sons Ltd.
    Paper not yet in RePEc: Add citation now
  10. [5] Engle, C. and A.P. Rodrigues (1989) Tests of International CAPM with Time-Varying Covariances, Journal of Applied Econometrics, 4, 119-138.

  11. [6] Engle, C. and A.P. Rodrigues (1993) Tests of Mean-Variance Eciencyi of International Equity Markets, Oxford Economic Papers, 45, 403-421.

  12. [7] Engle, R.F. (1982) Autoregressive Conditional Heteroskedasticity with Estimates of the variance of UK ination, Econometrica, 50, 987-1008.
    Paper not yet in RePEc: Add citation now
  13. [9] Frankel . J. and A. MacArthur (1988) Political versus currency premia in international real interest dierentials: A study of forward rates for 24 countries, European Economic Review, 32, 1083-1121.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan.
    In: Applied Energy.
    RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

    Full description at Econpapers || Download paper

  2. Applying Dynamic Training-Subset Selection Methods Using Genetic Programming for Forecasting Implied Volatility. (2020). Abdelmalek, Wafa ; ben Hamida, Sana ; Abid, Fathi.
    In: Papers.
    RePEc:arx:papers:2007.07207.

    Full description at Econpapers || Download paper

  3. A micro-to-macro approach to returns, volumes and waiting times. (2020). Petroni, Filippo ; D'Amico, Guglielmo.
    In: Papers.
    RePEc:arx:papers:2007.06262.

    Full description at Econpapers || Download paper

  4. Design of High-Frequency Trading Algorithm Based on Machine Learning. (2019). Feng, Yutong ; Fang, Boyue.
    In: Papers.
    RePEc:arx:papers:1912.10343.

    Full description at Econpapers || Download paper

  5. Does U.S. Macroeconomic News Make the South African Stock Market Riskier?. (2016). GUPTA, RANGAN ; Cakan, Esin.
    In: Working Papers.
    RePEc:pre:wpaper:201646.

    Full description at Econpapers || Download paper

  6. Models of Financial Return With Time-Varying Zero Probability. (2016). Sucarrat, Genaro ; Gronneberg, Steffen .
    In: MPRA Paper.
    RePEc:pra:mprapa:68931.

    Full description at Econpapers || Download paper

  7. Forecasting Covariance Matrices: A Mixed Approach. (2016). Halbleib, Roxana ; Voev, Valeri .
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:14:y:2016:i:2:p:383-417..

    Full description at Econpapers || Download paper

  8. CRIX or evaluating blockchain based currencies. (2016). Trimborn, Simon ; Härdle, Wolfgang ; Hardle, Wolfgang Karl.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2016-021.

    Full description at Econpapers || Download paper

  9. Value-at-Risk forecasts by a spatiotemporal model in Chinese stock market. (2016). Gong, PU ; Weng, Yingliang .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:441:y:2016:i:c:p:173-191.

    Full description at Econpapers || Download paper

  10. Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance. (2015). McAleer, Michael ; Maasoumi, Esfandiar ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150133.

    Full description at Econpapers || Download paper

  11. Unified quasi-maximum likelihood estimation theory for stable and unstable Markov bilinear processes. (2015). Aknouche, Abdelhakim.
    In: MPRA Paper.
    RePEc:pra:mprapa:69572.

    Full description at Econpapers || Download paper

  12. Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence. (2015). Bentes, Sonia R.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:438:y:2015:i:c:p:355-364.

    Full description at Econpapers || Download paper

  13. Nonlinear GARCH model and 1/f noise. (2015). Kononovicius, A. ; Ruseckas, J..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:427:y:2015:i:c:p:74-81.

    Full description at Econpapers || Download paper

  14. High and low or close to close prices? Evidence from the multifractal volatility. (2015). Ma, Feng ; Liu, Zhichao ; Long, Yujia .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:427:y:2015:i:c:p:50-61.

    Full description at Econpapers || Download paper

  15. Financial time series modeling using the Hurst exponent. (2015). Anagnostopoulos, Christoforos ; Tzouras, Spilios ; McCoy, Emma .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:425:y:2015:i:c:p:50-68.

    Full description at Econpapers || Download paper

  16. Sharia compliant gold investment in Malaysia: Hedge or safe haven?. (2015). Lean, Hooi Hooi ; Ghazali, Mohd Fahmi ; Bahari, Zakaria .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:34:y:2015:i:c:p:192-204.

    Full description at Econpapers || Download paper

  17. Value at Risk of the main stock market indexes in the European Union (2000–2012). (2015). Iglesias, Emma.
    In: Journal of Policy Modeling.
    RePEc:eee:jpolmo:v:37:y:2015:i:1:p:1-13.

    Full description at Econpapers || Download paper

  18. Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods. (2015). Bouri, Elie.
    In: Energy.
    RePEc:eee:energy:v:89:y:2015:i:c:p:365-371.

    Full description at Econpapers || Download paper

  19. Power transformations of absolute returns and long memory estimation. (2015). Dalla, Violetta.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:1-18.

    Full description at Econpapers || Download paper

  20. The Behavior of Conventional and Islamic Bank Deposit Returns in Malaysia and Turkey. (2015). Cevik, Serhan ; Charap, Joshua .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2015-01-09.

    Full description at Econpapers || Download paper

  21. Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk. (2015). Ruiz, Esther ; Hotta, Luiz ; Trucos, Carlos .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws1523.

    Full description at Econpapers || Download paper

  22. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
    In: PhD Thesis.
    RePEc:uts:finphd:13.

    Full description at Econpapers || Download paper

  23. Factor-Specific Productivity. (2014). Piper, Brian .
    In: Working Papers.
    RePEc:shs:wpaper:1401.

    Full description at Econpapers || Download paper

  24. Long memory dynamics for multivariate dependence under heavy tails. (2014). Lucas, Andre ; Koopman, Siem Jan ; Janus, Pawel.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:187-206.

    Full description at Econpapers || Download paper

  25. Volatility and dynamic conditional correlations of worldwide emerging and frontier markets. (2014). Lyócsa, Štefan ; Baumohl, Eduard.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:38:y:2014:i:c:p:175-183.

    Full description at Econpapers || Download paper

  26. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification. (2014). Floros, Christos ; Degiannakis, Stavros ; Dent, Pamela .
    In: Manchester School.
    RePEc:bla:manchs:v:82:y:2014:i:1:p:71-102.

    Full description at Econpapers || Download paper

  27. EARLY WARNING SYSTEMS: ANÁLISE DE UMMODELO PROBIT DE CONTÁGIO DE CRISE DOS ESTADOS UNIDOS PARA O BRASIL(2000-2010). (2014). DA SILVA, CLAUDECI ; Couto, Joaquim Miguel ; MURILLO, HUGO AGUDELO .
    In: Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting].
    RePEc:anp:en2012:110.

    Full description at Econpapers || Download paper

  28. Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS. (2013). Zhang, Dongxiang ; Wang, Juan.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2013:i:4:p:205-217.

    Full description at Econpapers || Download paper

  29. Regional Equity Risk Premium Convergence: The case of Japan. (2013). GUESMI, Khaled.
    In: Working Papers.
    RePEc:ipg:wpaper:2013-006.

    Full description at Econpapers || Download paper

  30. Economic effects by merger and acquisition types in the renewable energy sector: An event study approach. (2013). Heo, Eunnyeong ; Lee, Youah ; Yoo, Kyungjin .
    In: Renewable and Sustainable Energy Reviews.
    RePEc:eee:rensus:v:26:y:2013:i:c:p:694-701.

    Full description at Econpapers || Download paper

  31. Modelling price dynamics: A hybrid truncated Lévy Flight–GARCH approach. (2013). Constantinides, A. ; Savelev, S. E..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:9:p:2072-2078.

    Full description at Econpapers || Download paper

  32. The Tunisian stock market index volatility: Long memory vs. switching regime. (2013). Charfeddine, Lanouar ; Ajmi, Ahdi Noomen.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:16:y:2013:i:c:p:170-182.

    Full description at Econpapers || Download paper

  33. Moving average stochastic volatility models with application to inflation forecast. (2013). Chan, Joshua ; Chan, Joshua C. C., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:176:y:2013:i:2:p:162-172.

    Full description at Econpapers || Download paper

  34. Stock market comovements in Central Europe: Evidence from the asymmetric DCC model. (2013). Horvath, Roman ; Gjika, Dritan .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:55-64.

    Full description at Econpapers || Download paper

  35. Fear sentiments and gold price: testing causality in-mean and in-variance. (2012). Yagil, Joseph ; Qadan, Mahmod .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:19:y:2012:i:4:p:363-366.

    Full description at Econpapers || Download paper

  36. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080011.

    Full description at Econpapers || Download paper

  37. Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks. (2007). Ooms, Marius ; Koopman, Siem Jan ; Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070099.

    Full description at Econpapers || Download paper

  38. The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts. (2007). Zhou, Chen ; Ravazzolo, Francesco ; Huurman, Christian .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070036.

    Full description at Econpapers || Download paper

  39. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070025.

    Full description at Econpapers || Download paper

  40. NON-LINEARITY IN THE CANADIAN AND US LABOUR MARKETS: UNIVARIATE AND MULTIVARIATE EVIDENCE FROM A BATTERY OF TESTS. (2007). Pelloni, Gianluigi ; Panagiotidis, Theodore.
    In: Working Paper series.
    RePEc:rim:rimwps:06_07.

    Full description at Econpapers || Download paper

  41. Detecting Some Dynamic Properties of the Euro/Dollar Exchange Rate. (2006). Osinska, Magdalena ; Matuszewska-Janica, Aleksandra ; Osiska, Magdalena.
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:12:y:2006:i:3:p:327-341:10.1007/s11294-006-9021-7.

    Full description at Econpapers || Download paper

  42. Common Volatility Trends in the Central and Eastern European Currencies and the Euro. (2006). Tamirisa, Natalia T ; Pramor, Marcus.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2006/206.

    Full description at Econpapers || Download paper

  43. Outlier Detection in GARCH Models. (2005). Ooms, Marius ; Doornik, Jurgen.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20050092.

    Full description at Econpapers || Download paper

  44. Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices. (2005). Ooms, Marius ; Koopman, Siem Jan ; Carnero, M. Angeles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20050091.

    Full description at Econpapers || Download paper

  45. Nonparametric Tests for Serial Independence Based on Quadratic Forms. (2005). Panchenko, Valentyn ; Diks, Cees.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20050076.

    Full description at Econpapers || Download paper

  46. Duration and convexity in spanish corporate bonds. (2004). Sotos, Francisco .
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:10:y:2004:i:4:p:273-277:10.1007/bf02295140.

    Full description at Econpapers || Download paper

  47. Weak convergence and distributional assumptions for a general class of nonliner arch models. (1997). Mele, Antonio ; Fornari, Fabio.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:16:y:1997:i:2:p:205-227.

    Full description at Econpapers || Download paper

  48. The economics of conditional heteroskedasticity: Evidence from canadian and U.S. stock and futures markets. (1997). Ackert, Lucy.
    In: Atlantic Economic Journal.
    RePEc:kap:atlecj:v:25:y:1997:i:4:p:371-385.

    Full description at Econpapers || Download paper

  49. Incerteza inflacionária e crescimento do produto e incerteza do produto e crescimento inflacionário. (1991). Teixeira, Ernani .
    In: Nova Economia.
    RePEc:nov:artigo:v:2:y:1991:i:2:p:123-133.

    Full description at Econpapers || Download paper

  50. Uncertainty Shocks and Business Cycle Research. (). Guerron, Pablo ; Fernandez-Villaverde, Jesus ; Guerron-Quintana, Pablo.
    In: Review of Economic Dynamics.
    RePEc:red:issued:20-250.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-11 13:58:07 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.