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On testing for bubbles during hyperinflations
Morita, Rubens; Psaradakis, Zacharias G.; Sola, Martin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 25-37
Persistent link: https://www.econbiz.de/10014506885
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Estimating the volatility of asset pricing factors
Becker, Janis; Leschinski, Christian - 2018 - This version: May 20, 2018
Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...
Persistent link: https://www.econbiz.de/10011860248
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Uniform inference for conditional factor models with instrumental and idiosyncratic betas
Liao, Yuan; Yang, Xiye - 2017
It has been well known in financial economics that factor betas depend on observed instruments such as firm specific characteristics and macroeconomic variables, and a key object of interest is the effect of instruments on the factor betas. One of the key features of our model is that we specify...
Persistent link: https://www.econbiz.de/10011771555
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Nonlinearities and Tests of Asset Price Bubbles
Arora, Vipin - 2014
We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results …
Persistent link: https://www.econbiz.de/10013044861
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Nonlinearities and Tests of Asset Price Bubbles
Arora, Vipin; Shi, Shuping - 2018
We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results …
Persistent link: https://www.econbiz.de/10014145298
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Nonparametric test for a constant beta over a fixed time interval
Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...
Persistent link: https://www.econbiz.de/10010253467
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Factor selection and structural breaks
Chib, Siddhartha; Smith, Simon C. - 2024 - Draft: May 31, 2024
Persistent link: https://www.econbiz.de/10015055696
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A bootstrap method to test Granger-causality in the frequency domain
Farnè, Matteo; Montanari, Angela - In: Computational economics 59 (2022) 3, pp. 935-966
Persistent link: https://www.econbiz.de/10013169203
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Testing a large number of hypotheses in approximate factor models
Amengual, Dante; Repetto, Luca - 2014
Persistent link: https://www.econbiz.de/10011408282
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Testing for single bubble episode in the Nigerian stock market : an empirical investigation
Iliyasu, Jamilu; Saba, Ndayezhin D. - In: CBN journal of applied statistics 10 (2019) 1, pp. 29-49
This study evaluates a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal …-Fuller (SADF) test for bubble detection suggests non-existence of a bubble in the NSE between 2010 and 2017. Though there is an … line. However, it is not a bubble but a short deviation from trend. The study also estimates a time-varying long memory …
Persistent link: https://www.econbiz.de/10012178349