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Model selection test for the heavy-tailed distributions under censored samples with application in financial data
Panahi, Hanieh - In: International Journal of Financial Studies : open … 4 (2016) 4, pp. 1-14
Numerous heavy-tailed distributions are used for modeling financial data and in problems related to the modeling of economics processes. These distributions have higher peaks and heavier tails than normal distributions. Moreover, in some situations, we cannot observe complete information about...
Persistent link: https://www.econbiz.de/10011606719
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Modeling dependency of volatility on sampling frequency via delay equations
Luong, Chuong; Dokučaev, Nikolaj G. - In: Annals of financial economics 11 (2016) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10011685676
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Empirical evidences on the interconnectedness between sampling and asset returns' distributions
Orlando, Guiseppe; Bufalo, Michele - In: Risks : open access journal 9 (2021) 5, pp. 1-35
The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling …. Finally, we show how sampling and distribution of returns are strictly connected. This is of great importance as, for example …
Persistent link: https://www.econbiz.de/10012596311
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Volatility and GMM : Monte Carlo studies and empirical estimations
Nagel, Hartmut; Schöbel, Rainer - In: Statistical papers 40 (1999) 3, pp. 297-321
Persistent link: https://www.econbiz.de/10001401125
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Further evidence on the relationship between beta stability and the length of the estimation period
Faff, Robert W. - In: Advances in investment analysis and portfolio … 4 (1997), pp. 95-111
Persistent link: https://www.econbiz.de/10001229799
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Impact de l'intervalle d'échantillonnage sur les tests d'efficience : application au marché français des actions
Alexandre, Hervé - In: Finance : revue de l'Association Française de Finance 15 (1995) 2, pp. 7-27
Persistent link: https://www.econbiz.de/10001188581
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Testing for non-correlation between price and volatility jumps
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
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Predicting stock returns in the presence of uncertain structural changes and sample noise
Mantilla-García, Daniel; Vaidyanathan, Vijay - In: Financial markets and portfolio management 31 (2017) 3, pp. 357-391
Persistent link: https://www.econbiz.de/10011951769
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Testing for self-excitation in jumps
Boswijk, Herman Peter; Laeven, Roger J. A.; Yang, Xiye - In: Journal of econometrics 203 (2018) 2, pp. 256-266
Persistent link: https://www.econbiz.de/10011974668
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Stock market reaction to the 1974 LIFO adoption : an application of sample selectivity model
Po, Wai-nang; Ryu, Keunkwan - In: Journal of economic theory and econometrics : journal … 3 (1997) 2, pp. 33-63
Persistent link: https://www.econbiz.de/10001560610