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Phillips, Peter C. B.
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8
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Journal of econometrics
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ECONIS (ZBW)
1,655
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1
On leverage in a stochastic volatility model
Yu, Jun
- In:
Journal of econometrics
127
(
2005
)
2
,
pp. 165-178
Persistent link: https://www.econbiz.de/10002905096
Saved in:
2
Volume, volatility, and leverage : a dynamic analysis
Tauchen, George Eugene
;
Zhang, Harold
;
Liu, Ming
- In:
Journal of econometrics
74
(
1996
)
1
,
pp. 177-208
Persistent link: https://www.econbiz.de/10001755397
Saved in:
3
The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin
;
Khrapov, Stanislav
;
Renault, Eric
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
Saved in:
4
Variable selection in panel models with breaks
Smith, Simon C.
;
Timmermann, Allan
;
Zhu, Yinchu
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 323-344
Persistent link: https://www.econbiz.de/10012303949
Saved in:
5
A nonparametric test of a strong leverage hypothesis
Linton, Oliver
;
Whang, Yoon-jae
;
Yen, Yu-min
- In:
Journal of econometrics
194
(
2016
)
1
,
pp. 153-186
Persistent link: https://www.econbiz.de/10011705075
Saved in:
6
Logit versus discriminant analysis : a specification test and application to corporate bankruptcies
Lo, Andrew W.
- In:
Journal of econometrics
31
(
1986
)
2
,
pp. 151-178
Persistent link: https://www.econbiz.de/10003619351
Saved in:
7
Modeling frailty-correlated defaults using many macroeconomic covariates
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
- In:
Journal of econometrics
162
(
2011
)
2
,
pp. 312-325
Persistent link: https://www.econbiz.de/10009270628
Saved in:
8
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
9
Market efficiency, asset returns, and the size of the risk premium in global equity markets
Bansal, Ravi
;
Lundblad, Christian
- In:
Journal of econometrics
109
(
2002
)
2
,
pp. 195-237
Persistent link: https://www.econbiz.de/10001689009
Saved in:
10
Measurement error in multiple equations : Tobin's q and corporate investment, saving, and debt
Chalak, Karim
;
Kim, Daniel
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 413-432
Persistent link: https://www.econbiz.de/10012438979
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