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Return predictability and intertemporal asset allocation : evidence from a bias-adjusted VAR model
Engsted, Tom; Pedersen, Thomas Q. - In: Journal of empirical finance 19 (2012) 2, pp. 241-253
Persistent link: https://www.econbiz.de/10009615710
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Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe - In: Quantitative finance 20 (2020) 11, pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
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GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki; Kawasaki, Yoshinori; Stupfler, G. - In: Quantitative finance 22 (2022) 7, pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
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The impact of analyst-investor disagreement on the cross-section of implied cost of capital
Makrominas, Michalis - In: Australian journal of management 40 (2015) 2, pp. 224-244
Persistent link: https://www.econbiz.de/10011342894
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Estimation and inference in predictive regressions
Kurozumi, Eiji; Aono, Kohei - In: Hitotsubashi journal of economics 54 (2013) 2, pp. 231-250
Persistent link: https://www.econbiz.de/10010343650
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A fundamental misunderstanding of risk : the bias associated with the annualized calculation of standard deviation
Burkett, Matthew W.; Scherer, William T. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7
present a new example illustrating the bias when applied to an efficient frontier. …
Persistent link: https://www.econbiz.de/10013179703
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The reflection of crowd behaviour in Indian bourses
Ganesh, R.; Naresh, G.; Thiyagarajan, S. - In: International journal of behavioural accounting and finance 6 (2017) 2, pp. 93-106
Persistent link: https://www.econbiz.de/10012250995
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Under weighting of private information by top analysts
Aharoni, Gil; Einhorn, Eti; Zeng, Qi - In: Journal of accounting research 55 (2017) 3, pp. 551-590
Persistent link: https://www.econbiz.de/10011706248
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Measuring biases in expectation formation
Peters, Florian; Kucinskas, Simas - 2018
We develop a general framework for measuring biases in expectation formation. The method is based on the insight that biases can be inferred from the response of forecast errors to past news. Empirically, biases are measured by flexibly estimating the impulse response function of forecast...
Persistent link: https://www.econbiz.de/10011869992
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Outperforming benchmarks with their derivatives : theory and empirical evidence
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Journal of risk 18 (2015/2016) 4, pp. 25-52
Persistent link: https://www.econbiz.de/10011578371