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Consequences of outlier returns for event studies : a methodological investigation and treatment
Theodossiou, Panayiotis; Theodossiou, Alexandra - In: The international journal of accounting : TIJA 56 (2021) 3, pp. 2150013-1-23
Persistent link: https://www.econbiz.de/10012670646
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Predicting stock returns with implied cost of capital : a partial least squares approach
Hoang, Khoa; Cannavan, Damien; Huang, Ronghong; Peng, … - In: Journal of financial markets 53 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10013271976
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Dissecting market expectations in the cross-section of book-to-market ratios : a comment
Kelly, Bryan T.; Pruitt, Seth - In: Critical finance review 11 (2022) 2, pp. 375-381
Persistent link: https://www.econbiz.de/10013457294
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Testing for heteroskedastic mixture of ordinary least squares errors
Senarathne, Chamil W; Wei, Jianguo - In: Romanian journal of economic forecasting 23 (2020) 2, pp. 73-91
Persistent link: https://www.econbiz.de/10012422500
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Time-varying correlation and common structures in volatility
Liu, Yang - 2016
Persistent link: https://www.econbiz.de/10011556381
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Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices
Liao, Yin; Anderson, Heather M. - In: Journal of banking & finance 99 (2019), pp. 252-274
Persistent link: https://www.econbiz.de/10012162415
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Detecting serial dependence in tail events
Diks, Cees G. H. - 2002
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...
Persistent link: https://www.econbiz.de/10011327543
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Change‐point detection in the conditional correlation structure of multivariate volatility models
Barassi, Marco R.; Horváth, Lajos; Zhao, Yuqian - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 340-349
Persistent link: https://www.econbiz.de/10012262479
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Stock return outliers and beta estimation : the case of U.S. pharmaceutical companies
Theodossiou, Alexandra K.; Theodossiou, Panayiotis - In: Journal of international financial markets, … 30 (2014), pp. 153-171
Persistent link: https://www.econbiz.de/10011293772
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Impact of COVID-19 on global stock market volatility
Kusumahadi, Teresia Angelia; Permana, Fikri C. - In: Journal of economic integration : jei 36 (2021) 1, pp. 20-45
Persistent link: https://www.econbiz.de/10012593273