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Semiparametric estimation of risk-return relationships
Escanciano, Juan Carlos; Pardo-Fernández, Juan Carlos; … - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 40-52
Persistent link: https://www.econbiz.de/10011704099
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Generalized jump regressions for local moments
Bollerslev, Tim; Li, Jia; Chaves, Leonardo Salim Saker - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
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Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
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Testing alphas in conditional time-varying factor models with high-dimensional assets
Ma, Shujie; Lan, Wei; Su, Liangjun; Tsai, Chih-Ling - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 214-227
Persistent link: https://www.econbiz.de/10012179549
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Tilted nonparametric estimation of volatility functions with empirical applications
Xu, Ke-li; Phillips, Peter C. B. - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 518-528
Persistent link: https://www.econbiz.de/10009355632
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Rank tests at jump events
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
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Moment-based copula tests for financial returns
Chen, Yi-ting - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 4, pp. 377-397
Persistent link: https://www.econbiz.de/10003566044
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Measuring nonlinear Granger causality in mean
Song, Xiaojun; Taamouti, Abderrahim - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 321-333
Persistent link: https://www.econbiz.de/10011895015
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A Bayesian quantile time series model for asset returns
Griffin, Jim E.; Mitrodima, Gelly - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 16-27
Persistent link: https://www.econbiz.de/10012804077
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Nonlinear predictability of stock returns? : parametric versus nonparametric inference in predictive regressions
Demetrescu, Matei; Hillmann, Benjamin - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 382-397
Persistent link: https://www.econbiz.de/10012804123