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Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk
Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - 2019
Persistent link: https://www.econbiz.de/10012100535
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Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index
Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - 2019
Persistent link: https://www.econbiz.de/10012100546
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Policy news and stock market volatility
Baker, Scott; Bloom, Nicholas; Davis, Steven J.; Kost, Kyle - 2019
Persistent link: https://www.econbiz.de/10012026867
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Persistent link: https://www.econbiz.de/10001650402
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A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, Andrea (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001920657
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Evaluating the C-CAPM and the equity premium puzzle at short and long horizons : a Morkovian bootstrap approach
Engsted, Tom; Mammen, Enno; Tanggaard, Carsten - 2000
Persistent link: https://www.econbiz.de/10001493825
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Replicating the Dow Jones Industrial Average
Lin, Jacky; Selden, Genevieve C.; Shoven, John B.; … - 2021
Persistent link: https://www.econbiz.de/10012505795
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The dynamics of bond yields and the stock index : with an empirical application to the UK stock and bond market
Jakobsen, Jan Bo; Sørensen, Carsten - 1997
Persistent link: https://www.econbiz.de/10000960759
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Background indicators
Raunig, Burkhard - 2016
Persistent link: https://www.econbiz.de/10011494861
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Anticipatory effects in the FTSE 100 index revisions
Fernandes, Marcelo; Mergulhão, João - 2015
This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition, which employs publicly-known objective criteria to determine membership. Hence, it provides a natural context to investigate anticipatory trading effects. We propose a panel-regression...
Persistent link: https://www.econbiz.de/10011405289