Items where Author is "Nankervis, JC"
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Coakley, J and Marzano, M and Nankervis, JC (2016) How profitable are FX technical trading rules? International Review of Financial Analysis, 45. pp. 273-282. DOI https://doi.org/10.1016/j.irfa.2016.03.010
Nankervis, JC and Kougoulis, P and Coakley, J (2015) Generalized Variance-Ratio Tests in the Presence of Statistical Dependence. Journal of Time Series Analysis, 36 (5). pp. 687-705. DOI https://doi.org/10.1111/jtsa.12124
Velentza, AF and Girardone, C and Nankervis, JC (2008) Efficiency across alternative financial structures, bank types and size classes: a comparison of the OECD countries. International Journal of Banking, Accounting and Finance, 1 (2). pp. 168-188. DOI https://doi.org/10.1504/IJBAAF.2008.020647
Coakley, J and Kougoulis, P and Nankervis, JC (2008) The MSCI-Canada index rebalancing and excess comovement. Applied Financial Economics, 18 (16). pp. 1277-1287. DOI https://doi.org/10.1080/09603100701537722
Sajjad, R and Coakley, J and Nankervis, JC (2008) Markov-Switching GARCH Modelling of Value-at-RisK. Studies in Nonlinear Dynamics & Econometrics, 12 (3). DOI https://doi.org/10.2202/1558-3708.1522