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Testing for stock return predictability in a large Chinese panel

Westerlund, Joakim; Narayan, Paresh Kumar; Zheng, Xinwei - In: Emerging markets review 24 (2015), pp. 81-100

Persistent link: https://www.econbiz.de/10011538541

Testing overconfidence bias in Pakistani stock market

Zia, Lubna; Sindhu, Muzammal Ilyas; Hashmi, Shujahat Haider - In: Cogent economics & finance 5 (2017) 1, pp. 1-8

behavior in the stock market. The market-wide panel VAR model is used to investigate the lead–lag relationship between stock …

Persistent link: https://www.econbiz.de/10011872902

Measuring biases in expectation formation

Peters, Florian; Kucinskas, Simas - 2018

We develop a general framework for measuring biases in expectation formation. The method is based on the insight that biases can be inferred from the response of forecast errors to past news. Empirically, biases are measured by flexibly estimating the impulse response function of forecast...

Persistent link: https://www.econbiz.de/10011869992

Technical change, the long-run behavior of the United States stock market, and an enquiry into the accuracy of simulations

Peralta-Alva, Adrian - 2003

Persistent link: https://www.econbiz.de/10003385463

Understanding spurious regression in financial economics

Deng, Ai - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 122-150

Persistent link: https://www.econbiz.de/10010233602

Semiparametric structure guided by prior knowledge with applications in economics

Scholz, Michael - 2011

by directly applying economic theory or by examining simple parametric models to identify the coarse features of the … example, the curse of dimensionality can be circumvented, the estimation accuracy on boundaries can be improved, or the bias …

Persistent link: https://www.econbiz.de/10010238701