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Essays on market frictions and model misspecification in asset pricing
Seeger, Norman - 2009
Persistent link: https://www.econbiz.de/10003863665
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A statistical comparison of the CAPM to the Fama-French Three Factor Model and the Cahart's Model
Bello, Zakri - In: Global journal of finance and banking issues 2 (2008) 2, pp. 14-24
Persistent link: https://www.econbiz.de/10003853683
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What good is a volatility model?
Engle, Robert F.; Patton, Andrew J. - In: Forecasting volatility in the financial markets, (pp. 47-63). 2007
Persistent link: https://www.econbiz.de/10003872831
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Heterogeneity in stock pricing : a STAR model with multivariate transition functions
Lof, Matthijs - 2010
Persistent link: https://www.econbiz.de/10003991882
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Essays on financial econometrics
D'Amico, Stefania - 2004
Persistent link: https://www.econbiz.de/10003386855
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Econometric studies of stock market behaviour
Reng Rasmussen, Anne-Sofie - 2007
Persistent link: https://www.econbiz.de/10003517316
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Do bubbles and time-varying risk premiums affect stock prices? : A Kalman filter approach
Chen, Lii-tarn; Hueng, C. James; Lin, Chien-fu Jeff - In: Global business & economics review 2 (2000) 2, pp. 159-171
Persistent link: https://www.econbiz.de/10001596152
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Implementing statistical criteria to select return forecasting models : what do we learn?
Bossaerts, Peter L.; Hillion, Pierre Henri - In: The review of financial studies 12 (1999) 2, pp. 405-428
Persistent link: https://www.econbiz.de/10001421811
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Modeling and forecasting large realized covariance matrices and portfolio choice
Callot, Laurent A. F.; Kock, Anders Bredahl; Medeiros, … - In: Journal of applied econometrics 32 (2017) 1, pp. 140-158
Persistent link: https://www.econbiz.de/10011688494