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A non-linear filtering approach to stochastic volatility models with an application to daily stock returns
Watanabe, Toshiaki - In: Journal of applied econometrics 14 (1999) 2, pp. 101-121
Persistent link: https://www.econbiz.de/10001387229
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Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index
Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613
Persistent link: https://www.econbiz.de/10011485602
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Panel data tests of return models with applications to global stock returns
Hjalmarsson, Erik - 2005
Persistent link: https://www.econbiz.de/10003553376
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Forward-futures price differences in the UK commercial property market : arbitrage and marking-to-model explanations
Stanescu, Silvia; Tunaru, Radu; Candradewi, Made Reina - In: International review of financial analysis 34 (2014), pp. 177-188
Persistent link: https://www.econbiz.de/10010529042
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Predictive regressions with panel data
Hjalmarsson, Erik (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002569981
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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
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Detecting jumps amidst prevalent zero returns : evidence from the U.S. Treasury securities
Han, Seung-Oh; Huh, Sahn-Wook; Park, Jeayoung - In: Journal of empirical finance 70 (2023), pp. 276-307
Persistent link: https://www.econbiz.de/10014423707
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Testing for stock return predictability in a large Chinese panel
Westerlund, Joakim; Narayan, Paresh Kumar; Zheng, Xinwei - In: Emerging markets review 24 (2015), pp. 81-100
Persistent link: https://www.econbiz.de/10011538541
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Can demographic structures help predict equity premiums? : evidence from a panel with cross-section dependence
Kim, Seonghoon; Moon, Seongman - In: Applied economics letters 29 (2022) 7, pp. 635-639
Persistent link: https://www.econbiz.de/10013171008
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Better risk and performance estimates with factor-model Monte Carlo
Jiang, Yindeng; Martin, Doug - In: Journal of risk 17 (2014/2015) 5, pp. 29-67
Persistent link: https://www.econbiz.de/10011438893