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A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - 2021
We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no arbitrage restrictions by regularizing appropriate groups of coefficients. The second...
Persistent link: https://www.econbiz.de/10012487589
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A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27
Persistent link: https://www.econbiz.de/10014471822
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On the existence of moments : with an application to German stock returns
Runde, Ralf; Scheffner, Axel - 1998
Persistent link: https://www.econbiz.de/10000672982
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Spurious regressions in technical trading : momentum or contrarian?
Shintani, Mototsugu; Yabu, Tomoyoshi; Nagakura, Daisuke - 2008
Persistent link: https://www.econbiz.de/10003727425
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A distribution-free test for symmetry with an application to S&P index returns
Asai, Manabu; Dashzeveg, Ulziijargal - In: Applied economics letters 15 (2008) 4/6, pp. 461-464
Persistent link: https://www.econbiz.de/10003727479
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Alternatives to the normal model of stock returns : Gaussian mixture, generalised logF and generalised hyperbolic models
Behr, Andreas; Pötter, Ulrich - In: Annals of finance 5 (2009) 1, pp. 49-68
Persistent link: https://www.econbiz.de/10003775310
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Tests of stochastic dominance for time series data : theory and empirical application
Kläver, Hendrik - 2006
Die vorliegende Arbeit untersucht Tests auf stochastische Dominanz, welche ein grundlegendes Konzept der Entscheidungstheorie ist. Hierbei konzentrieren wir uns auf stochastische Dominanz erster und zweiter Ordnung. Diese sind die beiden wichtigsten Entscheidungsregeln und finden Anwendung in...
Persistent link: https://www.econbiz.de/10003315772
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
Persistent link: https://www.econbiz.de/10003880587
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10003889148
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10003898817