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Stock markets and real-time macroeconomic data

Hartmann, Daniel - 2007

Persistent link: https://www.econbiz.de/10003516924

Long-term memory in stock market prices

Lo, Andrew W. - 1989

Persistent link: https://www.econbiz.de/10000767657

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

Brechtmann, Markus - 1998

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

Statistical process control and its application in finance

Severin, Thomas - 1997

Persistent link: https://www.econbiz.de/10000983546

Statistical process control and its application in finance

Severin, Thomas - In: Risk measurement, econometrics and neural networks : …, (pp. 83-104). 1998

Persistent link: https://www.econbiz.de/10001305358

Testing Gaussianity and linearity of Japanese stock returns

Terui, Nobuhiko - In: Financial engineering and the Japanese markets 4 (1997) 3, pp. 203-232

Persistent link: https://www.econbiz.de/10001241132

Long-term memory in stock market prices

Lo, Andrew W. - In: Econometrica : journal of the Econometric Society, an … 59 (1991) 5, pp. 1279-1313

Persistent link: https://www.econbiz.de/10001113285

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

Prerequisites for modeling price and return data series for the Bucharest Stock Exchange

Tinca, Andrei - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 117-126

Persistent link: https://www.econbiz.de/10010224748

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

distribution of joint F statistics in order to deal with the presence of nuisance parameters, and we show how to implement the …

Persistent link: https://www.econbiz.de/10009746573