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Roughing it up : including jump components in the measurement, modeling, and forecasting of return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - In: The review of economics and statistics 89 (2007) 4, pp. 701-720
Persistent link: https://www.econbiz.de/10003567164
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Efficient prediction of excess returns
Faust, Jon; Wright, Jonathan H. - In: The review of economics and statistics 93 (2011) 2, pp. 647-659
Persistent link: https://www.econbiz.de/10009161567
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Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects
Mikosch, Thomas; Starica, Catalin - In: The review of economics and statistics 86 (2004) 1, pp. 378-390
Persistent link: https://www.econbiz.de/10002018201
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Multivariate density forecast evaluation and calibration in financial risk management : high-frequency returns on foreign exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - In: The review of economics and statistics 81 (1999) 4, pp. 661-673
Persistent link: https://www.econbiz.de/10001437391
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Estimating short-run persistence in mutual fund performance
Horst, Jenke R. ter; Verbeek, Marno - In: The review of economics and statistics 82 (2000) 4, pp. 646-655
Persistent link: https://www.econbiz.de/10001533480
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Scaling factors in estimation of time-nonseparable utility functions
Ni, Shawn X. - In: The review of economics and statistics 79 (1997) 2, pp. 234-240
Persistent link: https://www.econbiz.de/10001222423
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Estimating the density tail index for financial time series
Kearns, Phillip - In: The review of economics and statistics 79 (1997) 2, pp. 171-175
Persistent link: https://www.econbiz.de/10001222499
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Estimating the returns to insider trading : a performance-evaluation perspective
Jeng, Leslie A.; Metrick, Andrew; Zeckhauser, Richard - In: The review of economics and statistics 85 (2003) 2, pp. 453-471
Persistent link: https://www.econbiz.de/10001762833
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Risk and return : Consumption beta versus market beta
Mankiw, N. Gregory; Shapiro, Matthew D. - In: The review of economics and statistics 68 (1986) 3, pp. 452-459
Persistent link: https://www.econbiz.de/10003624721
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A unifying approach to the empirical evaluation of asset pricing models
Peñaranda, Francisco; Sentana, Enrique - In: The review of economics and statistics 97 (2015) 2, pp. 412-435
Persistent link: https://www.econbiz.de/10011333153