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Robust confidence intervals for autoregressive coefficients near one
Thompson, Samuel B. - In: Identification and inference for econometric models : …, (pp. 375-402). 2005
Persistent link: https://www.econbiz.de/10003352584
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Simple formulas for standard errors that cluster by both firm and time
Thompson, Samuel B. - In: Journal of financial economics 99 (2011) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10009241579
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Robust tests of the unit root hypothesis should not be "modified"
Thompson, Samuel B. - In: Econometric theory 20 (2004) 2, pp. 360-381
Persistent link: https://www.econbiz.de/10001988191
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Optimal versus robust inference in nearly integrated non-Gaussian models
Thompson, Samuel B. - In: Econometric theory 20 (2004) 1, pp. 23-55
Persistent link: https://www.econbiz.de/10001904742
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Identifying term structure volatility from the LIBOR-swap curve
Thompson, Samuel B. - In: The review of financial studies 21 (2008) 2, pp. 819-854
Persistent link: https://www.econbiz.de/10003716657
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Predicting excess stock returns out of sample : can anything beat the historical average?
Campbell, John Y.; Thompson, Samuel B. - In: The review of financial studies 21 (2008) 4, pp. 1509-1531
Persistent link: https://www.econbiz.de/10003765303
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Cross-sectional forecasts of the equity premium
Polk, Christopher; Thompson, Samuel B.; Vuolteenaho, Tuomo - In: Journal of financial economics 81 (2006) 1, pp. 101-141
Persistent link: https://www.econbiz.de/10003340669
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Volatility comovement : a multifrequency approach
Calvet, Laurent E.; Fisher, Adlai J.; Thompson, Samuel B. - 2004
Persistent link: https://www.econbiz.de/10002195944
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Volatility comovement: a multifrequency approach
Calvet, Laurent E.; Fisher, Adlai; Thompson, Samuel B. - In: Journal of econometrics 131 (2006) 1/2, pp. 179-215
Persistent link: https://www.econbiz.de/10003298573
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Predicting the equity premium out of sample : can anything beat the historical average?
Campbell, John Y. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003179316