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A new test of asset return predictability with an unstable predictor

Chang, Seong Yeon - In: Economics letters 196 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012510680

Time-varying predictability of the long horizon equity premium based on semiparametric regressions

Yu, Deshui; Li, Chen; Li, Luyang - In: Economics letters 224 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014307887

Testing of the mean reversion parameter in continuous time models

Iglesias, Emma M. - In: Economics letters 122 (2014) 2, pp. 187-189

Persistent link: https://www.econbiz.de/10010395196

Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area

Galati, Gabriele; Hindrayanto, Irma; Koopman, Siem Jan; … - In: Economics letters 145 (2016), pp. 83-87

Persistent link: https://www.econbiz.de/10011618230

A simple nonparametric conditional quantile estimator for time series with thin tails

Wang, Qiao - In: Economics letters 232 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014464377

Nearly unbiased estimation of sample skewness

Li, Yifan - In: Economics letters 192 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012508586

A switching model with flexible threshold variable : with an application to nonlinear dynamics in stock returns

Massacci, Daniele - In: Economics letters 119 (2013) 2, pp. 199-203

Persistent link: https://www.econbiz.de/10009745760

Missing mean does no harm to volatility!

Anatolyev, Stanislav; Tarasyuk, Irina - In: Economics letters 134 (2015), pp. 62-64

Persistent link: https://www.econbiz.de/10011432253

The time-varying GARCH-in-mean model

Dias, Gustavo Fruet - In: Economics letters 157 (2017), pp. 129-132

Persistent link: https://www.econbiz.de/10011847330

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10009530816