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Sparse Multivariate Modeling for Stock Returns Predictability
Bernardi, Mauro; Bianchi, Daniele; Bianco, Nicolas - 2021
We develop a new variational Bayes estimation method for large-dimensional sparse vector autoregressive models with exogenous predictors. Unlike existing Markov chain Monte Carlo (MCMC) and variational Bayes (VB) algorithms, our approach is not based on a structural form representation of the...
Persistent link: https://www.econbiz.de/10013239660
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Prediction of stock price movement using continuous time models
Sonono, Masimba E.; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 2, pp. 178-191
Persistent link: https://www.econbiz.de/10011398992
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A note on the estimation of a gamma-variance process : learning from a failure
Cervellera, Gian P.; Tucci, Marco Paolo - 2014
Persistent link: https://www.econbiz.de/10011852921
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Extreme value modelling of the South African Industrial Index (J520) returns using the generalised extreme value distribution
Jakata, Owen; Chikobvu, Delson - In: International journal of applied management science : IJAMS 14 (2022) 4, pp. 299-315
Persistent link: https://www.econbiz.de/10014231227
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Maximum likelihood estimation of latent affine processes
Bates, David S. - In: The review of financial studies 19 (2006) 3, pp. 909-965
Persistent link: https://www.econbiz.de/10003358398
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The analysis of the cross-section of security returns
Jagannathan, Ravi; Skoulakis, Georgios; Wang, Zhenyu - 2010
Persistent link: https://www.econbiz.de/10003900742
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Are short term stock asset returns predictable? : an extended empirical analysis
Mazzoni, Thomas - 2010
Persistent link: https://www.econbiz.de/10003977437
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Estimating the marginal law of a time series with applications to heavy tailed distributions
Francq, Christian; Zakoïan, Jean-Michel - 2011
Persistent link: https://www.econbiz.de/10009552653
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FloGARCH : realizing long memory and asymmetries in returns volatility
Vander Elst, Harry - 2015
Persistent link: https://www.econbiz.de/10011289172