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A unified test for predictability of asset returns regardless of properties of predicting variables

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Persistent link: https://www.econbiz.de/10012139823

Kernel estimation of financial time series

Hafner, Christian M. - In: Quantitative Verfahren im Finanzmarktbereich, (pp. 223-239). 1996

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A generalized dynamic conditional correlation model : simulation and application to many assets

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The impact of acquisitions on new technology stocks : the Google-Motorola case

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A generalized dynamic conditional correlation model for many asset returns

Hafner, Christian M. (contributor); … - 2003 - [Elektronische Ressource]

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Monthly art market returns

Bocart, Fabian Y. R. P.; Ghysels, Eric; Hafner, Christian M. - In: Journal of risk and financial management : JRFM 13 (2020) 5/100, pp. 1-22

We provide an innovative methodological contribution to the measurement of returns on infrequently traded assets using a novel approach to repeat-sales regression estimation. The model for price indices we propose allows for correlation with other markets, typically with higher liquidity and...

Persistent link: https://www.econbiz.de/10012304909