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Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23
bulk distribution components. This implies that the combination of a stochastic econometric model with extreme value theory …
Persistent link: https://www.econbiz.de/10012804913
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Predictability hidden by anomalous observations
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013 - This version: March 2013
Persistent link: https://www.econbiz.de/10010221576
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Detecting bubbles in the US stock market : a new evidence from the bootstrap cointegration test in ESTAR error correction model
Cagli, Efe Çaglar; Mandacı, Pınar Evrım - In: The empirical economics letters : a monthly … 16 (2017) 9, pp. 941-950
Persistent link: https://www.econbiz.de/10011907050
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Statistical tests of distributional scaling properties for financial return series
Hallam, Mark; Olmo, Jose - In: Quantitative finance 18 (2018) 7, pp. 1211-1232
Persistent link: https://www.econbiz.de/10011911533
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Market efficiency and technical analysis in Romania
Anghel, Dan Gabriel - In: International journal of financial research 6 (2015) 2, pp. 164-177
Persistent link: https://www.econbiz.de/10011405142
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Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient
Hall, Peter (contributor); Härdle, Wolfgang (contributor);  … - 1999
Persistent link: https://www.econbiz.de/10001413436
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Alternative methods for robust analysis in event study applications
Kramer, Lisa A. - In: Advances in investment analysis and portfolio … 8 (2001), pp. 109-132
Persistent link: https://www.econbiz.de/10001640874
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Semiparametric diffusion estimation and application to a stock market index
Härdle, Wolfgang (contributor) - 2001
Persistent link: https://www.econbiz.de/10001595495
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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 …
Persistent link: https://www.econbiz.de/10010238701
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Semiparametric diffusion estimation and application to a stock market model
Härdle, Wolfgang (contributor) - 2001
Persistent link: https://www.econbiz.de/10001619299