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Testing multi-beta asset pricing models
Velu, Raja P.; Zhou, Guofu - In: Journal of empirical finance 6 (1999) 3, pp. 219-241
Persistent link: https://www.econbiz.de/10001426357
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Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
Cheng, Wan-hsiu; Hung, Jui-cheng - In: Journal of empirical finance 18 (2011) 1, pp. 160-173
Persistent link: https://www.econbiz.de/10009301140
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Converting true returns into reported returns : a general theory of linear smoothing and anti-smoothing
McKenzie, Michael D.; Satchell, Stephen; Wongwachara, … - In: Journal of empirical finance 28 (2014), pp. 215-229
Persistent link: https://www.econbiz.de/10011285066
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A frequency-domain alternative to long-horizon regressions with application to return predictability
Sizova, Natalia - In: Journal of empirical finance 28 (2014), pp. 261-272
Persistent link: https://www.econbiz.de/10011285632
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Testing of a market fraction model and power-law behaviour in the DAX 30
He, Xue-zhong; Li, Youwei - In: Journal of empirical finance 31 (2015), pp. 1-17
Persistent link: https://www.econbiz.de/10011489318
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The dynamics of squared returns under contemporaneous aggregation of GARCH models
Jondeau, Eric - In: Journal of empirical finance 32 (2015), pp. 80-93
Persistent link: https://www.econbiz.de/10011556785
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Modelling changes in the unconditional variance of long stock return series
Amado, Cristina; Teräsvirta, Timo - In: Journal of empirical finance 25 (2014), pp. 15-35
Persistent link: https://www.econbiz.de/10010462094
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Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns
Granger, C. W. J.; Hyung, Namwon - In: Journal of empirical finance 11 (2004) 3, pp. 399-421
Persistent link: https://www.econbiz.de/10002050373
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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