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The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
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Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments
Berényi, Zsolt Endre - 2003
Persistent link: https://www.econbiz.de/10001754325
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Consumption asset pricing with stable shocks-exploring a solution and its implications for mean equity returns
Bidarkota, Prasad V.; McCulloch, J. Huston - In: Journal of economic dynamics & control 27 (2003) 3, pp. 399-421
Persistent link: https://www.econbiz.de/10001706327
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Vector autoregression models with skewness and heavy tails
Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang - In: Journal of economic dynamics & control 146 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014478164
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Location-scale portfolio selection with factor-recentered skew normal asset returns
Quan Gan - In: Journal of economic dynamics & control 48 (2014), pp. 176-187
Persistent link: https://www.econbiz.de/10010486681
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Aktienindexprognosen mit Fehlerkorrekturmodellen und dem ökonomisch relevanten Zins
Sauer, Egbert - 1995
Persistent link: https://www.econbiz.de/10000919875
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On the bimodality of the distribution of the S&P 500's distortion : empirical evidence and theoretical explanations
Schmitt, Noemi; Westerhoff, Frank H. - In: Journal of economic dynamics & control 80 (2017), pp. 34-53
Persistent link: https://www.econbiz.de/10011817623
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Model complexity and out-of-sample performance : evidence from S&P 500 index returns
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of economic dynamics & control 90 (2018), pp. 1-29
Persistent link: https://www.econbiz.de/10011974016
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Asset allocation with time series momentum and reversal
He, Xue-zhong; Li, Kai; Li, Youwei - In: Journal of economic dynamics & control 91 (2018), pp. 441-457
Persistent link: https://www.econbiz.de/10011974221
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A new statistic and practical guidelines for nonparametric Granger causality testing
Diks, Cees G. H.; Panchenko, Valentyn - In: Journal of economic dynamics & control 30 (2006) 9/10, pp. 1647-1669
Persistent link: https://www.econbiz.de/10003370351