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Der Betafaktor im CAPM als variierender Regressionskoeffizient

Becker, Steffen (contributor) - 2008

Der Betafaktor oder -koeffizient wird in Regressionsmodellen der statistisch-ökonometrischen Theorie üblicherweise als …

Persistent link: https://www.econbiz.de/10003785282

Midpoint method and accuracy of variability forecasting

He, Ling T.; Hu, Chenyi - In: Empirical economics : a journal of the Institute for … 38 (2010) 3, pp. 705-715

Persistent link: https://www.econbiz.de/10003951648

Essays on theoretical and empirical aspects of structural break models

Yabu, Tomoyoshi - 2006

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Rethinking performance evaluation

Harvey, Campbell R.; Liu, Yan - 2016

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Finite sample inference for unemployment-inflation tradeoff

Vinod, Hrishikesh D. - In: Unemployment : economic, political and social aspects, (pp. 41-59). 2016

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IV-based cointegration testing in dependent panels with time-varying variance

Demetrescu, Matei; Hanck, Christoph; Tarcolea, Adina Ioana - 2012 - This version: November 10, 2011

While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional heteroskedasticity as long as global homoskedasticity conditions are fulfilled, they are certainly affected when the innovations exhibit time-varying volatility. Worse yet, distortions...

Persistent link: https://www.econbiz.de/10009672473