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person:"Stambaugh, Robert F."
subject:"Share price"
~person:"Bauwens, Luc"
~person:"Gao, Jiti"
~person:"Gungor, Sermin"
~subject:"Stochastic process"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Estimation theory
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Stambaugh, Robert F.
Bauwens, Luc
Gao, Jiti
Gungor, Sermin
Maheswaran, S.
11
Tauchen, George Eugene
10
Todorov, Viktor
10
Li, Jia
8
Zakoïan, Jean-Michel
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5
Tsionas, Efthymios G.
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Wang, Yazhen
5
Allen, David E.
4
Fičura, Milan
4
Fu, Michael
4
Hurn, Stan
4
Koopman, Siem Jan
4
Li, Dong
4
Lucas, André
4
Mills, Terence C.
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Park, Joon Y.
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Shephard, Neil G.
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Tse, Yiu Kuen
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Daníelsson, Jón
3
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Annales d'économie et de statistique
1
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1
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1
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1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
10
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1
Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin
;
Luger, Richard
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
Saved in:
2
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
3
Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Gungor, Sermin
;
Luger, Richard
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 750-770
Persistent link: https://www.econbiz.de/10012483180
Saved in:
4
Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
Dong, Chaohua
;
Gao, Jiti
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 125-150
Persistent link: https://www.econbiz.de/10012180710
Saved in:
5
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
Saved in:
6
Specification testing in nonstationary time series models
Chen, Jia
;
Gao, Jiti
;
Li, Degui
;
Lin, Zhengyan
- In:
The econometrics journal
18
(
2015
)
1
,
pp. 117-136
Persistent link: https://www.econbiz.de/10011345989
Saved in:
7
Asymmetric ACD models: introducing price information in ACD models
Bauwens, Luc
;
Giot, Pierre
- In:
Empirical economics : a journal of the Institute for …
28
(
2003
)
4
,
pp. 709-731
Persistent link: https://www.econbiz.de/10001798161
Saved in:
8
Mutual fund performance and seemingly unrelated assets
Pástor, Ľuboš
;
Stambaugh, Robert F.
- In:
Journal of financial economics
63
(
2002
)
3
,
pp. 315-349
Persistent link: https://www.econbiz.de/10001661695
Saved in:
9
The logarithmic ACD model : an application to the bid-ask quote process of the NYSE stocks
Bauwens, Luc
;
Giot, Pierre
- In:
Annales d'économie et de statistique
(
2000
),
pp. 117-149
Persistent link: https://www.econbiz.de/10001543399
Saved in:
10
Costs of equity capital and model mispricing
Pástor, Ľuboš
;
Stambaugh, Robert F.
- In:
The journal of finance : the journal of the American …
54
(
1999
)
1
,
pp. 67-121
Persistent link: https://www.econbiz.de/10001355201
Saved in:
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