No. 36-8, December 2017
Index
- A Comparison of the Forecasting Ability of Immediate Price Impact Models
- Exploiting Spillovers to Forecast Crashes
- Forecasting the Daily Time‐Varying Beta of European Banks During the Crisis Period: Comparison Between GARCH Models and the Kalman Filter
- Long Memory of Financial Time Series and Hidden Markov Models with Time‐Varying Parameters
- Modelling and Trading the English and German Stock Markets with Novelty Optimization Techniques
- Nonlinearities in the CAPM: Evidence from Developed and Emerging Markets
- The US Dollar/Euro Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises