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Robust test of the January effect in stock markets using Markov-switching model

Chu, Chia-shang James; Liu, Tung; Rathinasamy, R. S. - In: Journal of financial management and analysis : … 17 (2004) 1, pp. 22-33

Persistent link: https://www.econbiz.de/10002507016

Economic prediction using neural networks : the case of IBM daily stock returns

White, Halbert - 1988

Persistent link: https://www.econbiz.de/10000806914

Data-snooping,technical trading rule performance and the bootstrap

Sullivan, Ryan; Timmermann, Allan; White, Halbert - 1998

Persistent link: https://www.econbiz.de/10000676438

Forecast precision and portfolio performance

Kane, Alex; Kim, Tae-hwan; White, Halbert - In: Journal of financial econometrics : official journal of … 8 (2010) 3, pp. 265-304

Persistent link: https://www.econbiz.de/10003997367

Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - 2008

Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to...