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The evolving impact of global, region-specific, and country-specific uncertainty
Mumtaz, Haroon; Musso, Alberto - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 466-481
Persistent link: https://www.econbiz.de/10012499092
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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
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Prediction in locally stationary time series
Dette, Holger; Wu, Weichi - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 370-381
Persistent link: https://www.econbiz.de/10012804122
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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
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Kelly, Bryan T.; Manela, Asaf; Moreira, Alan - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 859-879
Persistent link: https://www.econbiz.de/10012653195
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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
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Generic conditions for forecast dominance
Krüger, Fabian; Ziegel, Johanna F. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 972-983
Persistent link: https://www.econbiz.de/10012653217
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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
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Nonparametric tests for treatment effect heterogeneity with duration outcomes
Sant'Anna, Pedro H. C. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 816-832
Persistent link: https://www.econbiz.de/10012587986
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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
null hypothesis that the variable has no explanatory power. We derive the asymptotic theory for our test statistic and …
Persistent link: https://www.econbiz.de/10012795900