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Consequences of outlier returns for event studies : a methodological investigation and treatment

Theodossiou, Panayiotis; Theodossiou, Alexandra - In: The international journal of accounting : TIJA 56 (2021) 3, pp. 2150013-1-23

Persistent link: https://www.econbiz.de/10012670646

Predicting stock returns with implied cost of capital : a partial least squares approach

Hoang, Khoa; Cannavan, Damien; Huang, Ronghong; Peng, … - In: Journal of financial markets 53 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013271976

Weighted least squares realized covariation estimation

Li, Yifan; Nolte, Ingmar; Vasios, Michalis; Voev, Valeri; … - In: Journal of banking & finance 137 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013460187

Does the kitchen-sink model work forecasting the equity premium?

Yin, Anwen - In: International review of finance : the official journal … 22 (2022) 1, pp. 223-247

Persistent link: https://www.econbiz.de/10013162508

A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns

Peluso, Stefano; Corsi, Fulvio; Mira, Antonietta - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 665-697

Persistent link: https://www.econbiz.de/10011339256

System-wide tail comovements : a bootstrap test for cojump identification on the S&P 500, US bonds and currencies

Gnabo, Jean-Yves; Hvozdyk, Lyudmyla; Lahaye, Jérôme - In: Journal of international money and finance 48 (2014), pp. 147-174

Persistent link: https://www.econbiz.de/10010464002

Dissecting market expectations in the cross-section of book-to-market ratios : a comment

Kelly, Bryan T.; Pruitt, Seth - In: Critical finance review 11 (2022) 2, pp. 375-381

Persistent link: https://www.econbiz.de/10013457294

Testing for heteroskedastic mixture of ordinary least squares errors

Senarathne, Chamil W; Wei, Jianguo - In: Romanian journal of economic forecasting 23 (2020) 2, pp. 73-91

Persistent link: https://www.econbiz.de/10012422500

Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the...

Persistent link: https://www.econbiz.de/10011536626

Estimating correlated jumps and stochastic volatilities

Witzany, Jiří - In: Prague economic papers : a bimonthly journal of … 22 (2013) 2, pp. 251-283

Persistent link: https://www.econbiz.de/10010226453

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