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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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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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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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On the stability of portfolio selection models
Cesarone, Francesco; Mango, Fabiomassimo; Mottura, Carlo D. - In: Journal of empirical finance 59 (2020), pp. 210-234
Persistent link: https://www.econbiz.de/10012437975
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Local predictability of stock returns and cash flows
Yu, Deshui; Li, Chen - In: Journal of empirical finance 77 (2024), pp. 1-23
Persistent link: https://www.econbiz.de/10014578533
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Estimation with mixed data frequencies : a bias-correction approach
Ghosh, Anisha; Linton, Oliver - In: Journal of empirical finance 74 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014477062
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Improved inference for fund alphas using high-dimensional cross-sectional tests
Cheng, Tingting; Yan, Cheng; Yan, Yayi - In: Journal of empirical finance 61 (2021), pp. 57-81
Persistent link: https://www.econbiz.de/10012693236
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Systemic risk and cross-sectional hedge fund returns
Hwang, Inchang; Xu, Simon; In, Francis Haeuck; Kim, Tong Suk - In: Journal of empirical finance 42 (2017), pp. 109-130
Persistent link: https://www.econbiz.de/10011808555