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What is the chance that the equity premium varies over time? : evidence from regressions on the dividend-price ratio
Wachter, Jessica; Warusawitharana, Missaka - In: Journal of econometrics 186 (2015) 1, pp. 74-93
Persistent link: https://www.econbiz.de/10011349544
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Economic tracking portfolios
Lamont, Owen A. - In: Journal of econometrics 105 (2001) 1, pp. 161-184
Persistent link: https://www.econbiz.de/10001617161
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Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of econometrics 207 (2018) 1, pp. 71-91
Persistent link: https://www.econbiz.de/10012116125
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Edgeworth approximations for semiparametric instrumental variable estimators and test statistics
Linton, Oliver - In: Journal of econometrics 106 (2002) 2, pp. 325-368
Persistent link: https://www.econbiz.de/10001638902
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Validating forecasts of the joint probability density of bond yields : can affine models beat random walk?
Egorov, Alexej V.; Hong, Yongmiao; Li, Haitao - In: Journal of econometrics 135 (2006) 1/2, pp. 255-284
Persistent link: https://www.econbiz.de/10003376084
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Predictability of stock returns and asset allocation under structural breaks
Pettenuzzo, Davide; Timmermann, Allan - In: Journal of econometrics 164 (2011) 1, pp. 60-78
Persistent link: https://www.econbiz.de/10009270410
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New testing approaches for mean-variance predictability
Fiorentini, Gabriele; Sentana, Enrique - In: Journal of econometrics 222 (2021) 1,2, pp. 516-538
Persistent link: https://www.econbiz.de/10012619733
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Variance risk : a bird's eye view
Hollstein, Fabian; Wese Simen, Chardin - In: Journal of econometrics 215 (2020) 2, pp. 517-535
Persistent link: https://www.econbiz.de/10012439498
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Forecast density combinations of dynamic models and data driven portfolio strategies
Baştürk, N.; Borowska, A.; Grassi, S.; Hoogerheide, … - In: Journal of econometrics 210 (2019) 1, pp. 170-186
Persistent link: https://www.econbiz.de/10012303391
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Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 205 (2018) 2, pp. 381-401
Persistent link: https://www.econbiz.de/10012110307