Quantitative Finance, Volume 14, Issue 12 (2014)

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Quantitative Finance, Volume 14, Issue 12 (2014)

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Themed Issue on Financial Time Series

Features

Estimate nothing
Moritz Duembgen & L. C. G. Rogers
Pages: 2065-2072
Published online: 07 Nov 2014
First Page PreviewforEstimate nothing | Full Text | References | PDF (591.8 KB)
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Book review

Book Review
Discrete Time Series, Processes, and Applications in Finance
Ola Mahmoud
Pages: 2073-2074
Published online: 06 May 2014
CitationforDiscrete Time Series, Processes, and Applications in Finance | Full Text | References | PDF (201.9 KB)
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Free Access

Calendar

Calendar
Calendar
Page: 2075
Published online: 07 Nov 2014
CitationforCalendar | Full Text | PDF (40.4 KB)
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Research Papers

Article
A continuous time Bayesian network classifier for intraday FX prediction
S. Villa & F. Stella
Pages: 2079-2092
Published online: 22 Apr 2014
AbstractforA continuous time Bayesian network classifier for intraday FX prediction | Full Text | References | PDF (838.3 KB)
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Article
Exchange rate volatility, macroeconomic announcements and the choice of intraday periodicity filtering method
Helinä Laakkonen
Pages: 2093-2104
Published online: 21 Feb 2013
AbstractforExchange rate volatility, macroeconomic announcements and the choice of intraday periodicity filtering method | Full Text | References | PDF (587.8 KB)
  • 276 Views
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Article
Identifying and forecasting house prices: a macroeconomic perspective
Nan-Kuang Chen, Han-Liang Cheng & Ching-Sheng Mao
Pages: 2105-2120
Published online: 18 Nov 2013
AbstractforIdentifying and forecasting house prices: a macroeconomic perspective | Full Text | References | PDF (234.2 KB)
  • 568 Views
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Article
Clustering financial time series with variance ratio statistics
João A. Bastos & Jorge Caiado
Pages: 2121-2133
Published online: 23 Oct 2012
AbstractforClustering financial time series with variance ratio statistics | Full Text | References | PDF (310.2 KB)
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Article
Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data
Massimo Guidolin & Stuart Hyde
Pages: 2135-2153
Published online: 08 Sep 2014
AbstractforLinear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data | Full Text | References | PDF (2.5 MB)
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Article
Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)
Osvaldo C. Silva Filho, Flavio A. Ziegelmann & Michael J. Dueker
Pages: 2155-2170
Published online: 26 Feb 2013
AbstractforAssessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR) | Full Text | References | PDF (618.3 KB)
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Article
Power-law behaviour in time durations between extreme returns
Juan C. Reboredo, Miguel A. Rivera-Castro & Edilson Machado de Assis
Pages: 2171-2183
Published online: 11 Sep 2013
AbstractforPower-law behaviour in time durations between extreme returns | Full Text | References | PDF (1.6 MB)
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Article
Quantile regression estimates and the analysis of structural breaks
Marilena Furno
Pages: 2185-2192
Published online: 15 Feb 2012
AbstractforQuantile regression estimates and the analysis of structural breaks | Full Text | References | PDF (187.9 KB)
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Article
Revisiting the intertemporal risk–return relation: asymmetrical effect of unexpected volatility shocks
Kiseok Nam, Joshua Krausz & Augustine C. Arize
Pages: 2193-2203
Published online: 26 Jun 2013
AbstractforRevisiting the intertemporal risk–return relation: asymmetrical effect of unexpected volatility shocks | Full Text | References | PDF (176.6 KB)
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Article
Detecting volatility persistence in GARCH models in the presence of the leverage effect
A. B. M. Rabiul Alam Beg & Sajid Anwar
Pages: 2205-2213
Published online: 13 Sep 2012
AbstractforDetecting volatility persistence in GARCH models in the presence of the leverage effect | Full Text | References | PDF (202.7 KB)
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Article
Model risk of the implied GARCH-normal model
Shih-Feng Huang & Meihui Guo
Pages: 2215-2224
Published online: 01 Dec 2011
AbstractforModel risk of the implied GARCH-normal model | Full Text | References | PDF (238.9 KB)
  • 266 Views
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Article
A long-memory integer-valued time series model, INARFIMA, for financial application
A. M. M. Shahiduzzaman Quoreshi
Pages: 2225-2235
Published online: 23 Aug 2012
AbstractforA long-memory integer-valued time series model, INARFIMA, for financial application | Full Text | References | PDF (403.6 KB)
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Article
Alternative modeling for long term risk
Dominique Guégan & Xin Zhao
Pages: 2237-2253
Published online: 20 Nov 2013
AbstractforAlternative modeling for long term risk | Full Text | References | PDF (1.7 MB)
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Editorial Board

Editorial Board
Page: ebi
Published online: 07 Nov 2014
CitationforEditorial Board | Full Text | PDF (44.9 KB)
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