Narrow search
Showing 1 - 10 of 67
Cover Image
Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin; Luger, Richard - In: Journal of financial econometrics 19 (2021) 4, pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
Cover Image
Using the extremal index for value-at-risk backtesting
Bücher, Axel; Posch, Peter N.; Schmidtke, Philipp - In: Journal of financial econometrics 18 (2020) 3, pp. 556-584
Persistent link: https://www.econbiz.de/10012316700
Cover Image
Testing for regime changes in portfolios with a large number of assets : a robust approach to factor heteroskedasticity
Massacci, Daniele - In: Journal of financial econometrics 21 (2023) 2, pp. 316-367
Persistent link: https://www.econbiz.de/10014314751
Cover Image
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of financial econometrics 21 (2023) 5, pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Cover Image
High-dimensional granger causality tests with an application to VIX and news
Babii, Andrii; Ghysels, Eric; Striaukas, Jonas - In: Journal of financial econometrics 22 (2024) 3, pp. 605-635
Persistent link: https://www.econbiz.de/10015045166
Cover Image
Bootstrap confidence intervals and hypothesis testing for market information shares
Schweikert, Karsten - In: Journal of financial econometrics 19 (2021) 5, pp. 934-959
Persistent link: https://www.econbiz.de/10012799055
Cover Image
Intraday end-of-day volume prediction
Sancetta, Alessio - In: Journal of financial econometrics 19 (2021) 3, pp. 472-495
Persistent link: https://www.econbiz.de/10012654952
Cover Image
Comparing predictive accuracy under long memory, with an application to valatility forecasting
Kruse, Robinson; Leschinski, Christian; Will, Michael - In: Journal of financial econometrics 17 (2019) 2, pp. 180-228
Persistent link: https://www.econbiz.de/10012054436
Cover Image
Causal change detection in possibly integrated systems : revisiting the money-income relationship
Shi, Shuping; Hurn, Stan; Phillips, Peter C. B. - In: Journal of financial econometrics 18 (2020) 1, pp. 158-180
Persistent link: https://www.econbiz.de/10012180414
Cover Image
Efficient sorting : a more powerful test for cross-sectional anomalies
Ledoit, Olivier; Wolf, Michael; Zhao, Zhao - In: Journal of financial econometrics 17 (2019) 4, pp. 645-686
Persistent link: https://www.econbiz.de/10012152240