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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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The determinants of quantile autocorrelations : evidence from the UK
Ge̜bka, Bartosz; Wohar, Mark E. - In: International review of financial analysis 29 (2013), pp. 51-61
Persistent link: https://www.econbiz.de/10010244128
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Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin; Luger, Richard - In: Journal of financial econometrics 19 (2021) 4, pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
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Essays in statistical estimation and a stochastic application to financial markets
Huang, Jing - 2018
Persistent link: https://www.econbiz.de/10012183865
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On regression based event study
Pynnönen, Seppo - In: Contributions to accounting, finance, and management …, (pp. 327-354). 2005
Persistent link: https://www.econbiz.de/10003393211
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Spurious regressions driven by excessive volatility
Kim, Chang Sik; Lee, Sungro - In: Economics letters 113 (2011) 3, pp. 292-297
Persistent link: https://www.econbiz.de/10009503041
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Co-movements of the Indian stock market
Sudhakar, Aare; Sireesha, P. Bhanu - In: GITAM journal of management : a quarterly publication … 13 (2015) 2, pp. 40-59
Persistent link: https://www.econbiz.de/10011398114
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Predictive regressions with time-varying coefficients
Dangl, Thomas; Halling, Michael - In: Journal of financial economics 106 (2012) 1, pp. 157-181
Persistent link: https://www.econbiz.de/10009666666
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On the properties of regression test of stock returns predictability using dividend-price ratios
Moon, Seongman; Velasco, Carlos - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 151-173
Persistent link: https://www.econbiz.de/10010233601
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A predictive functional regression model for asset return
Dai, Xianhua; Li, Hong; Wang, Yiwen - In: Journal of mathematical finance 3 (2013) 2, pp. 307-311
Persistent link: https://www.econbiz.de/10010239559