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Statistical properties of statistical ensembles of stock returns

Lillo, Fabrizio; Mantegna, Rosario N. - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 405-408

Persistent link: https://www.econbiz.de/10001522895

Empirische Validierung von Kapitalmarktmodellen : Untersuchungen zum CAPM und zur APT für den deutschen Aktienmarkt

Ulschmid, Christoph - 1994

Persistent link: https://www.econbiz.de/10000891941

Testing volatility restrictions on intertemporal marginal rates of substitution implied by Euler equations and asset returns

Cecchetti, Stephen G.; Lam, Pok-sang; Mark, Nelson C. - 1992

Persistent link: https://www.econbiz.de/10000843094

Long-term memory in stock market prices

Lo, Andrew W. - 1989

Persistent link: https://www.econbiz.de/10000767657

Some statistics for testing the influence of the number of transactions on the distributions of returns

Satchell, Stephen; Yoon, Joungjun - 1993

Persistent link: https://www.econbiz.de/10000142720

Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998

Persistent link: https://www.econbiz.de/10000682409

Adäquate Modellierung von Finanzzeitreihen und Parameterschätzung in Modellen mit autoregressiver bedingter Heteroskedastie

Brechtmann, Markus - 1998

Persistent link: https://www.econbiz.de/10000675119

Stock markets and real-time macroeconomic data

Hartmann, Daniel - 2007

Persistent link: https://www.econbiz.de/10003516924

Improving the statistical power of financial event studies : the inverse variance weighted average-based test

Graça, Tarcisio Barroso da - In: Journal of empirical finance 17 (2010) 4, pp. 803-817

Persistent link: https://www.econbiz.de/10009267243

Regime switches in the risk-return trade-off

Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...

Persistent link: https://www.econbiz.de/10010225468