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The statistical and economic significance of the predictability of excess returns of common stocks

Pesaran, M. Hashem; Timmermann, Alan G. - 1990

Persistent link: https://www.econbiz.de/10000130935

Forecasting stock returns

Pesaran, M. Hashem; Timmermann, Allan - 1992

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Fitting the moments : a comparison of arch and regime switching models for daily stock returns

Sola, Martin; Timmermann, Allan - 1994

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The use of recursive model selection strategies in forecasting stock returns

Pesaran, M. Hashem; Timmermann, Allan - 1994

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Data-snooping,technical trading rule performance and the bootstrap

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Variations in the mean and volatility of stock returns around turning points of the business cycle

Pérez-Quirós, Gabriel; Timmermann, Allan - In: Forecasting volatility in the financial markets, (pp. 333-350). 2007

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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling asset returns

Kapetanios, George; Pesaran, M. Hashem - In: The refinement of econometric estimation and test …, (pp. 239-281). 2007

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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - In: Economic modelling 27 (2010) 6, pp. 1398-1416

Persistent link: https://www.econbiz.de/10008825760

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, M. Hashem - 2010

Persistent link: https://www.econbiz.de/10003981032

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

Persistent link: https://www.econbiz.de/10003965868