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Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model

Li, Mengheng; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 285-301

Persistent link: https://www.econbiz.de/10012804111

Nonlinear predictability of stock returns? : parametric versus nonparametric inference in predictive regressions

Demetrescu, Matei; Hillmann, Benjamin - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 382-397

Persistent link: https://www.econbiz.de/10012804123

Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets

Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 892-906

Persistent link: https://www.econbiz.de/10012653200

Price dividend ratio and long-run stock returns : a score-driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1054-1065

Persistent link: https://www.econbiz.de/10012653225

Testing for an omitted multiplicative long-term component in GARCH models

Conrad, Christian; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 229-242

We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative, there is a two-component model with a short-term GARCH component that fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of...

Persistent link: https://www.econbiz.de/10012795900

Is a normal copula the right copula?

Amengual, Dante; Sentana, Enrique - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 350-366

Persistent link: https://www.econbiz.de/10012262480

Detecting structural differences in tail dependence of financial time series

Bormann, Carsten; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 380-392

Persistent link: https://www.econbiz.de/10012262482

Implications of return predictability for consumption dynamics and asset pricing

Favero, Carlo A.; Ortu, Fulvio; Tamoni, Andrea; Yang, Haoxi - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 527-541

Persistent link: https://www.econbiz.de/10012262492

Heterogeneity in expectations, risk tolerance, and household stock shares : the attenuation puzzle

Ameriks, John; Kézdi, Gábor; Lee, Minjoon; Shapiro, … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 633-646

Persistent link: https://www.econbiz.de/10012262501

Asymptotic inference for performance fees and the predictability of asset returns

McCracken, Michael W.; Valente, Giorgio - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 3, pp. 426-437

Persistent link: https://www.econbiz.de/10012249170