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Autocorrelation, seasonality and model choice in return estimation
Praetz, Peter - 1980
Persistent link: https://www.econbiz.de/10000012348
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On the power and size properties of cointegration tests in the light of high-frequency stylized facts
Krauss, Christopher; Herrmann, Klaus; Teis, Stefan - 2015
This paper first establishes a selection of stylized facts for high-frequency cointegration processes in the European equity market. Empirical evidence is given by one minute-binned transaction data of all DAX 30 constituents as traded on Deutsche Börse's Xetra market in 2014. A methodology is...
Persistent link: https://www.econbiz.de/10011341383
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Nonlinearity and smoothing in venture capital performance data
McKenzie, Michael D.; Satchell, Stephen; Wongwachara, … - In: Journal of empirical finance 19 (2012) 5, pp. 782-795
Persistent link: https://www.econbiz.de/10009700590
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Random walks and market efficiency : evidence from Indian stock market
Tripathy, Nalini Prava - In: International journal of economics and business research 6 (2013) 2, pp. 210-228
Persistent link: https://www.econbiz.de/10010351158
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Robust thresholding for Diffusion Index forecast
Le, Vu; Wang, Qing - In: Economics letters 125 (2014) 1, pp. 52-56
Persistent link: https://www.econbiz.de/10010504772
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A (semi-)parametric functional coefficient autoregressive conditional duration model
Fernandes, Marcelo (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003404400
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A family of autoregressive conditional duration models
Fernandes, Marcelo (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001703153
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A family of autoregressive conditional duration models
Fernandes, Marcelo (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001955244
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On Fitting the Autoregressive Investment Models to Real Financial Data
Medvedev, Gennady - 2009
The successful investment policy is an integral part of successful activity of the insurance company. The return to the shareholders of the insurance company usually thought of as comprising the underwriting result and investment income. The investment income is very important even for an...
Persistent link: https://www.econbiz.de/10013156306