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Asian financial crisis, cointegration, emerging stock markets, generalized impulse response analysis
Asset storability, Price discovery, Cointegration, Cost-of-carry
Realized volatility and correlation, oil and natural gas, long-memory, OPEC
interest rate swaps, capital structure, tax incentive of hedging
Stock-bond correlation, Business cycle, Asymmetry, Smooth transition, GARCH
risk-return tradeoff, GARCH, semiparametric estimation
International stock markets, stock market crash, historical decomposition, directed acyclic graphs
Stock index futures, Error correction model, Impulse response analysis, Forecast error variance decomposition, Directed acyclic graphs
CAPM, ICAPM, Fama and French Three Factors, Stock Market Return Predictability, Realized Volatility, and GARCH, Value Premium
Chinese Stock Index Futures Market, Intraday, Recursive Cointegration Analysis, Multivariate GARCH
International stock markets, Cointegration, Forecast error variance decomposition, Directed acyclic graphs
Market linkages, emerging stock markets, generalized impulse response analysis, generalized forecast error variance decomposition, rolling VAR analysis
market linkages, emerging stock markets, generalized impulse response analysis, generalized forecast error variance decomposition, rolling VAR analysis
market integration, European stock markets, EMU, generalized impulse response
regime-switching, conditional co-skewness, intertemporal asset pricing, stock and bond co-movements
Currency convertibility, China foreign exchange market, Cointegration, Information Asymmetry
interest rate linkages, Granger causality, forecasting evaluation, contemporaneous correlation, directed acyclic graphs
price discovery, electronic trading, foreign exchange markets, spot and futures, E-mini
energy futures, intraday, nonlinear models, martingale, technical trading rule
stock-bond extreme correlation, futures, copula, macroeconomic news, stock market uncertainty
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: j-6288.
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stock–bond extreme correlation, futures, copula, macroeconomic news, stock market uncertainty
monetary policy, two-factor model, asymmetry, ETF
bank-firm relationship, bank’s credit quality, political connections, initial public offerings, commercial banks
fiscal deficits, monetary policy, stock market, semiparametric estimation
Habit Formation, Time-Varying Risk Aversion, Countercyclical Sharpe Ratio, Limited Stock Market Participation, Illiquidity Premium, ICAPM, Conditional CAPM, Nonparametric and Semiparametric Models
monetary policy, FOMC statements, asymmetry, currency futures
CMBS, REITs, Dynamic Conditional Correlation, Macroeconomic Variables
CMBS, REITs, Dynamic conditional correlation, Macroeconomic variables
ICAPM, value premium, stock return predictability, realized variance, and GARCH
Inflation transmission, directed acyclic graphs, forecast error variance decomposition, recursive estimation, impulse responses
Euro exchange rates, martingale, nonlinear models, technical trading rule, forecasting evaluation
monetary policy, FOMC statements, asymmetry, securitized real estate markets, two-factor empirical specification
File name: JORS287.
File name: SSRN-id662001.
exchange rates, forward market, term structure, cointegration, structural breaks
File name: SSRN-id1422665.
international stock markets, model selection, economic criteria, nonparametric models, forecasting
File name: fire.
Housing price index, Jump intensity, Economic fundamentals
Housing price index; Jump intensity; Economic fundamentals
File name: j-6229.
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