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Visual inference and graphical representation in regression discontinuity designs
Korting, Christina; Lieberman, Carl; Pei, Zhuan; Shen, Yi; … - 2020
Persistent link: https://www.econbiz.de/10012214429
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Determining the stationarity properties of individual series in panel datasets
Kapetanios, George (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001867133
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A note on covariance stationarity conditions for dynamic random coefficient models
Kapetanios, George (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001867230
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Determining the poolability of individual series in panel datasets
Kapetanios, George (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001868048
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A new method for determining the number of factors in factor models with large datasets
Kapetanios, George (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002403209
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On testing for diagonality of large dimensional covariance matrices
Kapetanios, George (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002403217
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Ranking multivariate GARCH models by problem dimension
Caporin, Massimiliano; McAleer, Michael - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008689067
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A one line derivation of DCC : application of a vector random coefficient moving average process
Hafner, Christian M.; McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010410197
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Ranking multivariate GARCH models by problem dimension : an empirical evaluation
Caporin, Massimiliano; McAleer, Michael - 2011
Persistent link: https://www.econbiz.de/10009412785
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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - 2014
We explore whether the market variance risk premium (VRP) can be predicted. First, we propose a novel approach to measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather than synthetic S&P 500 variance swap quotes, thus avoiding...
Persistent link: https://www.econbiz.de/10010472838