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Model complexity and out-of-sample performance : evidence from S&P 500 index returns
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of economic dynamics & control 90 (2018), pp. 1-29
Persistent link: https://www.econbiz.de/10011974016
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High-frequency volatility modeling : A Markov-Switching Autoregressive Conditional Intensity model
Li, Yifan; Nolte, Ingmar; Nolte, Sandra - In: Journal of economic dynamics & control 124 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012666459
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The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
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Occupational choice and the private equity premium puzzle
Hintermaier, Thomas; Steinberger, Thomas - In: Journal of economic dynamics & control 29 (2005) 10, pp. 1765-1783
Persistent link: https://www.econbiz.de/10003128393
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Investor expectations, earnings management, and asset prices
Du, Kai - In: Journal of economic dynamics & control 105 (2019), pp. 134-157
Persistent link: https://www.econbiz.de/10012131947
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Exploiting ergodicity in forecasts of corporate profitability
Mundt, Philipp; Alfarano, Simone; Milaković, Mishael - In: Journal of economic dynamics & control 111 (2020), pp. 1-28
Persistent link: https://www.econbiz.de/10012501441
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On the bimodality of the distribution of the S&P 500's distortion : empirical evidence and theoretical explanations
Schmitt, Noemi; Westerhoff, Frank H. - In: Journal of economic dynamics & control 80 (2017), pp. 34-53
Persistent link: https://www.econbiz.de/10011817623
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Asset allocation with time series momentum and reversal
He, Xue-zhong; Li, Kai; Li, Youwei - In: Journal of economic dynamics & control 91 (2018), pp. 441-457
Persistent link: https://www.econbiz.de/10011974221
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A new statistic and practical guidelines for nonparametric Granger causality testing
Diks, Cees G. H.; Panchenko, Valentyn - In: Journal of economic dynamics & control 30 (2006) 9/10, pp. 1647-1669
Persistent link: https://www.econbiz.de/10003370351
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Permanent shocks, signal extraction, and portfolio selection
Nazliben, K. Korhan; Rodríguez, Juan Carlos - In: Journal of economic dynamics & control 92 (2018), pp. 47-68
Persistent link: https://www.econbiz.de/10011974232