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A bootstrap stationarity test for predictive regression invalidity
Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 528-541
Persistent link: https://www.econbiz.de/10012178194
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Bootstrap-after-bootstrap prediction intervals for autoregressive models
Kim, Jae H. - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 1, pp. 117-128
Persistent link: https://www.econbiz.de/10001543465
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A bootstrap test for predictability of asset returns
Kim, Jae H.; Shamsuddin, Abul - In: Finance research letters 35 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012438374
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Bootstrap prediction intervals for factor models
Gonçalves, Sílvia; Perron, Benoit; Djogbenou, Antoine - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 53-69
Persistent link: https://www.econbiz.de/10011704104
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Determining risk model confidence sets
Cummins, Mark; Dowling, Michael; Esposito, Francesco - In: Finance research letters 22 (2017), pp. 169-174
Persistent link: https://www.econbiz.de/10011808131
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Testing nowcast monotonicity with estimated factors
Fosten, Jack; Gutknecht, Daniel - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 107-123
Persistent link: https://www.econbiz.de/10012179524
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Testing for structural change of predictive regression model to threshold predictive regression model
Zhu, Fukang; Liu, Mengya; Ling, Shiqing; Cai, Zongwu - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 228-240
Persistent link: https://www.econbiz.de/10013540808
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Quantile-based GARCH-MIDAS : estimating value-at-risk using mixed-frequency information
Xu, Yan; Wang, Xinyu; Liu, Hening - In: Finance research letters 43 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10014632411
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Bonferroni type tests for return predictability and the initial condition
Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 499-515
Persistent link: https://www.econbiz.de/10015053422
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Common features in economics and finance : an overview of recent developments
Urga, Giovanni - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 1, pp. 2-11
Persistent link: https://www.econbiz.de/10003410118