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Time-varying industry beta in Indian stock market and forecasting errors
Das, Sudipta; Barai, Parama - In: International journal of emerging markets 10 (2015) 3, pp. 521-534
Persistent link: https://www.econbiz.de/10011489295
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Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter
Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973
Persistent link: https://www.econbiz.de/10011860929
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Jump variation estimation with noisy high frequency financial data via wavelets
Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26
This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …
Persistent link: https://www.econbiz.de/10011568279
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Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
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Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
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Price dividend ratio and long-run stock returns : a score-driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1054-1065
Persistent link: https://www.econbiz.de/10012653225
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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
Persistent link: https://www.econbiz.de/10012299985
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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
estimation of the state vector and of the time-varying parameters. We use this method to study the timevarying relationship …
Persistent link: https://www.econbiz.de/10012156426
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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2019
Persistent link: https://www.econbiz.de/10012205777
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Jump detection and noise separation by a singular wavelet method for predictive analytics of high-frequency data
Chen, Yi-Ting; Lai, Wan-Ni; Sun, Edward W. - In: Computational economics 54 (2019) 2, pp. 809-844
Persistent link: https://www.econbiz.de/10012134380