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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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Forecasting asset returns in state space models
Boos, Dominik - 2011
Erwartungen über die zukünftige Entwicklung der Wirtschaft sind von herausragender Bedeutung, um in einem stochastischen Umfeld die richtigen Entscheidungen zu treffen. Daher werden Prognoseverfahren seit langem erforscht. Grösstenteils basieren diese Untersuchungen auf Regressionstechniken...
Persistent link: https://www.econbiz.de/10008938595
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Maximum likelihood estimation of the equity premium
Avdis, Efstathios; Wachter, Jessica - In: Journal of financial economics 125 (2017) 3, pp. 589-609
Persistent link: https://www.econbiz.de/10011751863
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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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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