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Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity

Pelagatti, Matteo; Sbrana, Giacomo - In: Quantitative finance 24 (2024) 3/4, pp. 451-464

Persistent link: https://www.econbiz.de/10014552077

Estimating cross-sectional regressions in event studies with conditional heteroskedasticity and regression designs that have leverage

Karafiath, Imre - In: International journal of managerial finance : IJMF 10 (2014) 4, pp. 418-431

Persistent link: https://www.econbiz.de/10010411856

Extensions to IVX methods of inference for return predictability

Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-30

Persistent link: https://www.econbiz.de/10014471800

Using the regression model for the portfolios analysis and management

Anghelache, Constantin; Anghel, Mădălina Gabriela - In: Theoretical and applied economics : GAER review 21 (2014) 4, pp. 53-66

Persistent link: https://www.econbiz.de/10010532227

Foreign exchange risk and the predictability of carry trade returns

Cenedese, Gino; Sarno, Lucio; Tsiakas, Ilias - In: Journal of banking & finance 42 (2014), pp. 302-313

Persistent link: https://www.econbiz.de/10010408374

Time-Localized Wavelet Multiple Regression and Correlation : Eurozone Stock Markets Across Scales and Time

Fernandez-Macho, Javier - 2020

regression on wavelet coefficients. The concept of wavelet local multiple correlation is used to produce one single set of multi …-scale correlations along time, in contrast with the large number of wavelet correlation maps that need to be compared when using standard … century. It is shown how the evolution of the correlation structure in these markets has been far from homogeneous both along …

Persistent link: https://www.econbiz.de/10012854086