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Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization
Kim, Chang-Jin; Nelson, Charles R.; Startz, Richard - In: Journal of empirical finance 5 (1998) 2, pp. 131-154
Persistent link: https://www.econbiz.de/10001374883
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Testing for mean reversion in heteroskedastic data II : autoregression tests based on Gibbs-sampling-augmented randomization
Kim, Chang-Jin; Nelson, Charles R. - In: Journal of empirical finance 5 (1998) 4, pp. 385-396
Persistent link: https://www.econbiz.de/10001375196
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An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence
Marquering, Wessel A.; Verbeek, Marno - In: Journal of empirical finance 6 (1999) 3, pp. 243-265
Persistent link: https://www.econbiz.de/10001426363
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Stock and bond market interactions with level and asymmetry dynamics : an out-of-sample application
Goeij, Peter de; Marquering, Wessel A. - In: Journal of empirical finance 16 (2009) 2, pp. 318-329
Persistent link: https://www.econbiz.de/10003839335