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Testing for episodic predictability in stock returns

Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 1, pp. 85-113

Persistent link: https://www.econbiz.de/10013441625

Tail index estimation in the presence of covariates : stock returns' tail risk dynamics

Nicolau, João; Rodrigues, Paulo M. M.; Stoykov, Marian Z. - In: Journal of econometrics 235 (2023) 2, pp. 2266-2284

Persistent link: https://www.econbiz.de/10014471455

Extensions to IVX methods of inference for return predictability

Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-30

Persistent link: https://www.econbiz.de/10014471800

Transformed regression-based long-horizon predictability tests

Demetrescu, Matei; Rodrigues, Paulo M. M.; Taylor, Robert - In: Journal of econometrics 237 (2023) 2,3, pp. 1-37

Persistent link: https://www.econbiz.de/10014471812

Forgetting approaches to improve forecasting

Hill, Robert A.; Rodrigues, Paulo M. M. - In: Journal of forecasting 41 (2022) 7, pp. 1356-1371

Persistent link: https://www.econbiz.de/10013465699

Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices

Ignatieva, Ekaterina; Rodrigues, Paulo Jorge Maurício; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 68-75

Persistent link: https://www.econbiz.de/10011389699

A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks

Rodrigues, Paulo - 2009

This paper examines continuous-time models for the price and volatility processes of individual stocks and the S\amp;P 100 index via Markov Chain Monte Carlo estimation. We find that the stochastic processes governing individual stocks are rather heterogeneous. A key result of our investigation...

Persistent link: https://www.econbiz.de/10012718585

Equity index variance : evidence from flexible parametric jump-diffusion models

Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103

Persistent link: https://www.econbiz.de/10011816827

Model complexity and out-of-sample performance : evidence from S&P 500 index returns

Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of economic dynamics & control 90 (2018), pp. 1-29

Persistent link: https://www.econbiz.de/10011974016

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - In: Journal of empirical finance 70 (2023), pp. 322-341

Persistent link: https://www.econbiz.de/10014423714