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Multicointegration under measurement errors

Hassler, Uwe - In: Economics letters 96 (2007) 1, pp. 38-44

Persistent link: https://www.econbiz.de/10003485780

Persistence under temporal aggregation and differencing

Hassler, Uwe - In: Economics letters 124 (2014) 2, pp. 318-322

Persistent link: https://www.econbiz.de/10010494135

Impulse responses of antipersistent processes

Hassler, Uwe - In: Economics letters 116 (2012) 3, pp. 454-456

Persistent link: https://www.econbiz.de/10009674284

A note on the size of the KPSS unit root test

Su, Jen-je; Amsler, Christine Elaine; Schmidt, Peter - In: Economics letters 117 (2012) 3, pp. 697-699

Persistent link: https://www.econbiz.de/10009680830

Skewness and kurtosis trades

Blaskowitz, Oliver J. (contributor); … - 2004

In this paper we investigate the profitability of 'skewness trades' and 'kurtosis trades' based on comparisons of implied state price densities versus historical densities. In particular, we examine the ability of SPD comparisons to detect structural breaks in the options market behaviour. While...