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Forecasting the volatility of Australian stock returns : do common factors help?

Anderson, Heather M.; Vahid, Farshid - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 1, pp. 76-90

Persistent link: https://www.econbiz.de/10003410168

Do jumps matter? : forecasting multivariate realized volatility allowing for common jumps

Liao, Yin; Anderson, Heather M.; Vahid, Farshid - 2010

Persistent link: https://www.econbiz.de/10008657960

Common non-linearities in multiple series of stock market volatility

Anderson, Heather M.; Vahid, Farshid - 2013

Persistent link: https://www.econbiz.de/10009701603

Forecasting the volatility of Australian stock returns : do common factors help?

Anderson, Heather M. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002848638

Do jumps matter? : forecasting multivariate realized volatility allowing for common jumps

Liao, Yin; Anderson, Heather M.; Vahid, Farshid - 2010

Persistent link: https://www.econbiz.de/10008661656

Explanations of an empirical puzzle : what can be learnt from a test of the rational expectations hypothesis?

Anderson, Heather M. - In: The journal of economic methodology 6 (1999) 1, pp. 31-59

Persistent link: https://www.econbiz.de/10001427382

Reported earnings and analyst forecasts as competing sources of information : a new approach

Anderson, Heather M.; Chan, Howard Wei-hong; Faff, Robert W. - 2007

Persistent link: https://www.econbiz.de/10003711845

Reported Earnings and Analyst Forecasts as Competing Sources of Information : A New Approach

Faff, Robert W. - 2012

We apply a new methodology, modified Granger causality tests, to further analyze the information flows between earnings and forecasts. Our application focuses on the dynamic interaction between reported earnings and analysts' forecasts. Based on long time series of analyst earnings forecasts and...

Persistent link: https://www.econbiz.de/10013096342

High-dimensional predictive regression in the presence of cointegration

Koo, Bonsoo; Anderson, Heather M.; Seo, Myung Hwan; … - In: Journal of econometrics 219 (2020) 2, pp. 456-477

Persistent link: https://www.econbiz.de/10012483404

Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation

Choe, Kwang-il; Choi, Pilsun; Nam, Kiseok; Vahid, Farshid - In: Pacific-Basin finance journal 20 (2012) 2, pp. 271-291

Persistent link: https://www.econbiz.de/10009488255