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Efficient bias robust regression for time series factor models

Martin, R. Douglas; Xia, Daniel Z. - In: The journal of asset management : a major new, … 23 (2022) 3, pp. 215-234

Persistent link: https://www.econbiz.de/10013199106

Gaussian rank correlation and regression

Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - In: Essays in honor of M. Hashem Pesaran : panel modeling, …, (pp. 269-306). 2022

Persistent link: https://www.econbiz.de/10013194599

Gaussian rank correlation and regression

Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020

Persistent link: https://www.econbiz.de/10012308723

Gaussian rank correlation and regression

Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020

Persistent link: https://www.econbiz.de/10012232995

Conditional relation between return and co-moments : an empirical study for emerging Indian stock market

Chaudhary, Rashmi; Misra, Dheeraj; Bakhshi, Priti - In: Investment management and financial innovations 17 (2020) 2, pp. 308-319

Persistent link: https://www.econbiz.de/10012303177

Up- and downside variance risk premia in global equity markets

Held, Matthias; Kapraun, Julia; Omachel, Marcel; … - In: Journal of banking & finance 118 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012521039

Predictability hidden by anomalous observations

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013 - This version: March 2013

Persistent link: https://www.econbiz.de/10010221576

Jump regressions

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195

Persistent link: https://www.econbiz.de/10011738476

International stock return predictability under model uncertainty

Schrimpf, Andreas (contributor) - 2008

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Persistent link: https://www.econbiz.de/10003728591

Explaining returns with cash-flow proxies

Hecht, Peter; Vuolteenaho, Tuomo - In: The review of financial studies 19 (2006) 1, pp. 159-194

Persistent link: https://www.econbiz.de/10003325175

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