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Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - 2007
Persistent link: https://www.econbiz.de/10003997594
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Pitfalls in tests for changes in correlations
Boyer, Brian H.; Gibson, Michael S.; Loretan, Mico - 1997
Persistent link: https://www.econbiz.de/10000645979
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A note on the coefficient of determination in models with infinite variance variables
Kurz-Kim, Jeong-Ryeol; Loretan, Mico - 2007
Persistent link: https://www.econbiz.de/10003997434
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Evaluating "correlation breakdowns" during periods of market volatility
Loretan, Mico; English, William B. - 2000
Persistent link: https://www.econbiz.de/10001464198
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Rise of the machines : algorithmic trading in the foreign exchange market
Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - 2009
Persistent link: https://www.econbiz.de/10009535470
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Jackknifing stock return predictions
Chiquoine, Benjamin; Hjalmarsson, Erik - 2008
Persistent link: https://www.econbiz.de/10009269061
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The Stambaugh bias in panel predictive regressions
Hjalmarsson, Erik - 2007
Persistent link: https://www.econbiz.de/10003997742
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Interpreting long-horizon estimates in predictive regressions
Hjalmarsson, Erik - 2008
Persistent link: https://www.econbiz.de/10003997782
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Diversification across characteristics
Hjalmarsson, Erik - 2009
Persistent link: https://www.econbiz.de/10009535464
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Predicting global stock returns
Hjalmarsson, Erik - 2008
Persistent link: https://www.econbiz.de/10008990364