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Testing for parameter instability in predictive regression models
Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of econometrics 204 (2018) 1, pp. 101-118
Persistent link: https://www.econbiz.de/10011974719
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Extensions to IVX methods of inference for return predictability
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-30
Persistent link: https://www.econbiz.de/10014471800
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Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables
Georgiev, Iliyan - In: Journal of econometrics 158 (2010) 1, pp. 37-50
Persistent link: https://www.econbiz.de/10008826877
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Testing for episodic predictability in stock returns
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 1, pp. 85-113
Persistent link: https://www.econbiz.de/10013441625