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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289
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Efficient inference on fractionally integrated panel data models with fixed effects
Robinson, Peter M.; Velasco, Carlos - In: Journal of econometrics 185 (2015) 2, pp. 435-452
Persistent link: https://www.econbiz.de/10011348967
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On testing the equality of mean and quantile effects
Bera, Anil K.; Galvão Júnior, Antônio Fialho; Wang, Liang - In: Journal of econometric methods 3 (2014) 1, pp. 47-62
Persistent link: https://www.econbiz.de/10010242083
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Testing of the mean reversion parameter in continuous time models
Iglesias, Emma M. - In: Economics letters 122 (2014) 2, pp. 187-189
Persistent link: https://www.econbiz.de/10010395196
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Optimal pooling and distributed inference for the tail index and extreme quantiles
Daouia, Abdelaati; Padoan, Simone A.; Stupfler, Gilles - 2022
Persistent link: https://www.econbiz.de/10013170008
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Threshold mixed data sampling (TMIDAS) regression models with an application to GDP forecast errors
Yang, Lixiong - In: Empirical economics : a quarterly journal of the … 62 (2022) 2, pp. 533-551
Persistent link: https://www.econbiz.de/10012819480
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Testing for state-dependent predictive ability
Fossati, Sebastian - 2017
Persistent link: https://www.econbiz.de/10011718491
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Applicant reactions as a function of test length : is there reason to fret over using longer tests?
Speer, Andrew B.; King, Brandon S.; Grossenbacher, Michael - In: Journal of personnel psychology 15 (2016) 1, pp. 15-24
Persistent link: https://www.econbiz.de/10011642498
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Are linear models really unuseful to describe business cycle data?
Lopes, Artur C. B. da Silva; Zsurkis, Gabriel Florin - 2017
on testing only. The authors aim to maximize power to detect non-linearities and, simultaneously, they purport avoiding …
Persistent link: https://www.econbiz.de/10011596878
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Regression discontinuity designs with unknown state-dependent discontinuity points : estimation and testing
Yang, Lixiong - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-18
Persistent link: https://www.econbiz.de/10012054886