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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
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Bias-free nonparametric estimation of intra-day trade activity measures
Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan - 2000
Persistent link: https://www.econbiz.de/10001517885
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Investment styles and the multiple testing of cross-sectional stock return predictability
Vincent, Kendro; Hsu, Yu-Chin; Lin, Hsiou-Wei - In: Journal of financial markets 56 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013282501
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The Fu (2009) Positive Relation between Idiosyncratic Volatility and Expected Returns Is Due to Look-Ahead Bias
Park, Seongkyu; Wei, K. C. John; Zhang, Linti - 2020
look-ahead bias, we re-estimate expected idiosyncratic volatility using information only up to time t - 1. We find no …
Persistent link: https://www.econbiz.de/10012846905
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Momentum and market volatility : a Bayesian regime-switching model
Cao, Jia; Copeland, Laurence S. - In: The European journal of finance 29 (2023) 5, pp. 483-507
Persistent link: https://www.econbiz.de/10014322539
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Human capital values and returns : bounds implied by earnings and asset returns data
Huggett, Mark; Kaplan, Greg - 2010
Persistent link: https://www.econbiz.de/10008688611
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Human capital values and returns : bounds implied by earnings and asset returns data
Huggett, Mark; Kaplan, Greg - 2010
Persistent link: https://www.econbiz.de/10009533846
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Evaluating alternative stock market volatility estimators : some empirical findings from the Swedish market
Jern, Benny - 1994
Persistent link: https://www.econbiz.de/10000147094
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Common stochastic trends in international stock prices and dividends : an example of testing overidentifying restrictions on multiple cointegration vectors
Engsted, Tom - In: Applied financial economics 7 (1997) 6, pp. 659-665
Persistent link: https://www.econbiz.de/10001240790