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Is momentum due to data-snooping?
Ericsson, Johan (contributor);  … - 2003 - [Elektronische Ressource]
This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and NASDAQ stocks on the CRSP database. The analysis considers the period July 1963 to December 2002 and the tests are performed on portfolios formed on industry, size and...
Persistent link: https://www.econbiz.de/10001883186
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Testing constancy of the error covariance matrix in vector models
Eklund, Bruno (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. January 18, 2006
-varying whereas the correlation remain constant over time. Under the parameterized alternative hypothesis the variance may change …
Persistent link: https://www.econbiz.de/10001924637
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Numerical aspects of Bayesian VAR-modeling
Kadiyala, K. Rao; Karlsson, Sune - 1994
Persistent link: https://www.econbiz.de/10000885969
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Comparative dynamics in health economics : some useful results
Johansson, Per-Olov; Löfgren, Karl-Gustaf - 1994
Persistent link: https://www.econbiz.de/10000888970
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A comparison between bias approximations applied to bivariate VAR models
Brännström, Tomas - 1994
Persistent link: https://www.econbiz.de/10000893698
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Economic growth and the Swedish model
Henrekson, Magnus; Jonung, Lars; Stymne, Joakim - 1994
Persistent link: https://www.econbiz.de/10000894778
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On the optimal value and protection of a patent
Johansson, Per-Olov; Löfgren, Karl-Gustaf - 1994
Persistent link: https://www.econbiz.de/10000896620
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Essays on exchange rates and international finance
Nessén, Marianne - 1994
Persistent link: https://www.econbiz.de/10000897134
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Studies in complex financial instruments and their valuation
Ekvall, Niklas - 1993
Persistent link: https://www.econbiz.de/10000860118
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Wage formation in a unionized economy
Sonnegård, Eva Uddén - 1993
Persistent link: https://www.econbiz.de/10000864467