A Tale of Two Tails: A New Unique Information Share Measure Based on Copulas.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 4, p. 1170, doi. 10.1093/jjfinec/nbad023
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- Publication type:
- Article
Works matching IS 14798409 AND DT 2024 AND VI 22 AND IP 4
Results: 12
1
2
A Truncated Mixture Transition Model for Interval-Valued Time Series.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 4, p. 1130, doi. 10.1093/jjfinec/nbad022
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- Publication type:
- Article
3
Estimation of an Order Book Dependent Hawkes Process for Large Datasets.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 4, p. 1098, doi. 10.1093/jjfinec/nbad021
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- Publication type:
- Article
4
New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence†.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 4, p. 1075, doi. 10.1093/jjfinec/nbad020
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- Publication type:
- Article
5
A New Test on Asset Return Predictability with Structural Breaks.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 4, p. 1042, doi. 10.1093/jjfinec/nbad018
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- Publication type:
- Article
6
Disagreement in Market Index Options.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 4, p. 1006, doi. 10.1093/jjfinec/nbad017
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- Publication type:
- Article
7
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 4, p. 954, doi. 10.1093/jjfinec/nbad016
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- Publication type:
- Article
8
Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 4, p. 908, doi. 10.1093/jjfinec/nbad015
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- Publication type:
- Article
9
Real-Time Identification and High-Frequency Analysis of Deposits Outflows.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 4, p. 868, doi. 10.1093/jjfinec/nbad012
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- Publication type:
- Article
10
Beyond Co-integration: New Tools for Inference on Co-movements.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 4, p. 839, doi. 10.1093/jjfinec/nbad010
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- Publication type:
- Article
11
When Safe-Haven Asset Is Less than a Safe-Haven Play.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 4, p. 808, doi. 10.1093/jjfinec/nbad009
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- Publication type:
- Article
12
Endogenous Volatility in the Foreign Exchange Market.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 4, p. 773, doi. 10.1093/jjfinec/nbad008
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- Publication type:
- Article