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Multivariate asset return prediction with mixture models
Paolella, Marc S. - In: The European journal of finance 21 (2015) 13/15, pp. 1214-1252
Persistent link: https://www.econbiz.de/10011419842
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Tourism return requency demand in Madagascar
Randriamboarison, R.; Rasoamanajara, F.; Solonandrasana, B. - In: Tourism economics : the business and finance of tourism … 19 (2013) 4, pp. 943-958
Persistent link: https://www.econbiz.de/10010232503
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Can the seasonal pattern of consumption growth reproduce habits in the cross-section of stock returns? : evidence from the European equity market
Rojo-Suárez, Javier; Alonso-Conde, Ana Belén; … - In: The European journal of finance 27 (2021) 8, pp. 721-739
Persistent link: https://www.econbiz.de/10012516122
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On the relative performance of consumption models in foreign and domestic markets
Matos, Paulo; Costa, Carlor E. da - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 154-188
Persistent link: https://www.econbiz.de/10011742314
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Asset holders' consumption risk and tests of conditional CCAPM
Elkamhi, Redouane; Jo, Chanik - In: Journal of financial economics 148 (2023) 3, pp. 220-244
Persistent link: https://www.econbiz.de/10014335744
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Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
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An estimation of economic models with recursive preferences
Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C. - In: Quantitative economics : QE ; journal of the … 4 (2013) 1, pp. 39-83
This paper presents estimates of key preference parameters of the Epstein and Zin (1989 , 1991) and Weil (1989) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the...
Persistent link: https://www.econbiz.de/10011756863
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Parametric and semiparametric logit models: an empirical application on stock returns
Dayıoğlu, Tuğba - In: Selected topics in applied econometrics, (pp. 321-333). 2019
Persistent link: https://www.econbiz.de/10012287036
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Analysis of binary panel data by static and dynamic logit models : stock returns and macroeconomic factors
Caglayan, Ebru; Kangalli, Sinem Güler - In: The empirical economics letters : a monthly … 10 (2011) 5, pp. 495-501
Persistent link: https://www.econbiz.de/10009512456
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Improvement in Hurst exponent estimation and its application to financial markets
Gómez-Águila, A.; Trinidad Segovia, Juan Evangelista; … - In: Financial innovation : FIN 8 (2022), pp. 1-21
is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent. We show …
Persistent link: https://www.econbiz.de/10013413110