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Testing for nonlinearity in daily German stock returns

Funke, Michael - 1993

Persistent link: https://www.econbiz.de/10000142708

Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling asset returns

Kapetanios, George; Pesaran, M. Hashem - In: The refinement of econometric estimation and test …, (pp. 239-281). 2007

Persistent link: https://www.econbiz.de/10003461881

Estimating generalized state density of near-extreme events and its applications in analyzing stock data

Lin, Jin-guan; Huang, Chao; Zhuang, Qing-yun; Zhu, Li-ping - In: Insurance / Mathematics & economics 47 (2010) 1, pp. 13-20

Persistent link: https://www.econbiz.de/10003985370

Multivariate asset return prediction with mixture models

Paolella, Marc S. - In: The European journal of finance 21 (2015) 13/15, pp. 1214-1252

Persistent link: https://www.econbiz.de/10011419842

Nonparametric testing for anomaly effects in empirical asset pricing models

Jin, Sainan; Su, Liangjun; Zhang, Yonghui - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 9-36

Persistent link: https://www.econbiz.de/10011285985

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

Persistent link: https://www.econbiz.de/10011379469