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Optimally sampled realized range-based volatility estimators

Vortelinos, Dimitrios I. - In: Research in international business and finance 30 (2014), pp. 34-50

Persistent link: https://www.econbiz.de/10010390353

Consistent inference for predictive regressions in persistent economic systems

Andersen, Torben; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 224 (2021) 1, pp. 215-244

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Consumption, aggregate wealth and expected stock returns : an FCVAR approach

Quineche, Ricardo - In: Journal of time series econometrics 13 (2021) 1, pp. 21-42

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Dynamic cross-autocorrelation in stock returns

Kinnunen, Jyri - In: Journal of empirical finance 40 (2017), pp. 162-173

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A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection

Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Tong, Yongbo - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012659611

General Bayesian time-varying parameter VARs for modeling government bond yields

Fischer, Manfred M.; Hauzenberger, Niko; Huber, Florian; … - 2022

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Predicting the daily covariance matrix for S&P 100 stocks using intraday data : but which frequency to use?

Pooter, Michiel de; Martens, Martin; Dijk, Dick van - 2006

of determining the optimal sampling frequency, which strikes a balance between variance and bias in covariance matrix … estimates due to market microstructure effects such as non-synchronous trading and bid-ask bounce. The optimal sampling …

Persistent link: https://www.econbiz.de/10011346450

Intra-day realized volatility for European and USA Stock indices

Degiannakis, Stavros; Floros, Christos - In: Global finance journal 29 (2016), pp. 24-41

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Out-of-sample equity premium predictability and sample split-invariant inference

Kolev, Gueorgui I.; Karapandža, Raša - In: Journal of banking & finance 84 (2017), pp. 188-201

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Asset co-movements : features and challenges

Gospodinov, Nikolaj - 2017

-movements. Although some of the time variation could be genuine, the sampling uncertainty and time series properties of the series can …

Persistent link: https://www.econbiz.de/10011771615

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