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

Brechtmann, Markus - 1998

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

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. A. - 1998

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

Levels of significance in event studies

Sweeney, Richard J. - In: Review of quantitative finance and accounting 1 (1991) 4, pp. 373-382

Persistent link: https://www.econbiz.de/10001120882

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. A. - 1999

Persistent link: https://www.econbiz.de/10001426216

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. A. - 1998

Persistent link: https://www.econbiz.de/10000998139

Measuring tail thickness to estimate the stable index a : a critique

McCulloch, J. Huston - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 1, pp. 74-81

Persistent link: https://www.econbiz.de/10001214302

The statistics of sharpe ratios

Lo, Andrew W. - In: Investment performance measurement : evaluating and …, (pp. 629-651). 2009

Persistent link: https://www.econbiz.de/10003839912

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

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a cointegration model, of pairs of stock prices. We show...

Persistent link: https://www.econbiz.de/10010259626

Statistical properties of covariance estimator of microstructure noise : dependence, rare jumps and endogeneity

Ubukata, Masato; Oya, Kosuke - In: Recent advances in financial engineering : proceedings …, (pp. 201-218). 2009

Persistent link: https://www.econbiz.de/10003871191