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Testing for non-correlation between price and volatility jumps

Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297

Persistent link: https://www.econbiz.de/10011818360

Subsampling Hypothesis Tests for Nonstationary Panels with Applications to Exchange Rates and Stock Prices

Choi, In; Chue, Timothy K. - 2005

This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated, and cross-sectionally cointegrated. The subsampling approach provides approximations to the finite sample distributions of the tests without estimating nuisance parameters. The...

Persistent link: https://www.econbiz.de/10014027534

High-frequency jump tests : which test should we use?

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2020 - (Revised working paper 17/18)

Persistent link: https://www.econbiz.de/10012606872

High-frequency jump tests : which test should we use?

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487

Persistent link: https://www.econbiz.de/10012483405

Volatility and GMM : Monte Carlo studies and empirical estimations

Nagel, Hartmut; Schöbel, Rainer - In: Statistical papers 40 (1999) 3, pp. 297-321

Persistent link: https://www.econbiz.de/10001401125

Adaptive polar sampling with an application to a Bayes measure of value-at-risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999

Persistent link: https://www.econbiz.de/10001430824

Further evidence on the relationship between beta stability and the length of the estimation period

Faff, Robert W. - In: Advances in investment analysis and portfolio … 4 (1997), pp. 95-111

Persistent link: https://www.econbiz.de/10001229799

Impact de l'intervalle d'échantillonnage sur les tests d'efficience : application au marché français des actions

Alexandre, Hervé - In: Finance : revue de l'Association Française de Finance 15 (1995) 2, pp. 7-27

Persistent link: https://www.econbiz.de/10001188581

Stock market reaction to the 1974 LIFO adoption : an application of sample selectivity model

Po, Wai-nang; Ryu, Keunkwan - In: Journal of economic theory and econometrics : journal … 3 (1997) 2, pp. 33-63

Persistent link: https://www.econbiz.de/10001560610

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

Kapetanios, George (contributor); … - 2005

are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …

Persistent link: https://www.econbiz.de/10002734112