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On the role of risk premia in volatility forecasting
Chernov, Mikhail - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 4, pp. 411-426
Persistent link: https://www.econbiz.de/10003566051
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The time variation of expected returns and volatility in foreign-exchange markets
Bekaert, Geert - In: Journal of business & economic statistics : JBES ; a … 13 (1995) 4, pp. 397-408
Persistent link: https://www.econbiz.de/10001190299
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Testing the martingale hypothesis
Phillips, Peter C. B.; Jin, Sainan - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 4, pp. 537-554
Persistent link: https://www.econbiz.de/10010488434
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Impulse response function for conditional volatility in GARCH models
Lin, Wen-ling Tsai - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 1, pp. 15-25
Persistent link: https://www.econbiz.de/10001214326
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Long swings in exchange rates : are they really in the data?
Klaassen, Franc - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 1, pp. 87-95
Persistent link: https://www.econbiz.de/10002583998
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Combining p-values for multivariate predictive ability testing
Spreng, Lars; Urga, Giovanni - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 765-777
Persistent link: https://www.econbiz.de/10014448433
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Testing cross-section correlation in panel date using spacings
Ng, Serena - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 1, pp. 12-23
Persistent link: https://www.econbiz.de/10003279765
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Convergence rates to purchasing power parity for traded and nontraded goods : a structural error-correction model approach
Kim, Jaebeom - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 1, pp. 76-86
Persistent link: https://www.econbiz.de/10002583982
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Tests for unit-root versus threshold specification with an application to the purchasing power parity relationship
Bec, Frédérique; BenSalem, Mélika; Carrasco, Marine - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 382-395
Persistent link: https://www.econbiz.de/10002372870
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The effects of additive outliers on tests for unit roots and cointegration
Franses, Philip Hans - In: Journal of business & economic statistics : JBES ; a … 12 (1994) 4, pp. 471-478
Persistent link: https://www.econbiz.de/10001170590