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Econometric applications of the forward search in regression : robustness, diagnostics, and graphics
Atkinson, Anthony C. - In: Econometric reviews 28 (2009) 1/3, pp. 21-39
Persistent link: https://www.econbiz.de/10003800650
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Short- and long-term effects of responsible investment growth on equity returns
Ferrat, Yann; Daty, Frédéric; Burlacu, Radu - In: The journal of risk finance : JRF 23 (2022) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10012797856
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Modeling high frequency data with long memory and structural change : A-HYEGARCH model
Shi, Yanlin; Yang, Yang - In: Risks : open access journal 6 (2018) 2, pp. 1-28
In this paper, we propose an Adaptive Hyperbolic EGARCH (A-HYEGARCH) model to estimate the long memory of high frequency time series with potential structural breaks. Based on the original HYGARCH model, we use the logarithm transformation to ensure the positivity of conditional variance. The...
Persistent link: https://www.econbiz.de/10011811728
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Structural change test in duration of bull and bear markets
Nicolau, João - In: Economics letters 146 (2016), pp. 64-67
Persistent link: https://www.econbiz.de/10011619060
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A tale of two volatilities : Sectoral uncertainty, growth, and asset prices
Segal, Gill - In: Journal of financial economics 134 (2019) 1, pp. 110-140
Persistent link: https://www.econbiz.de/10012166756
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Fundamentals of value versus growth investing and an explanation for the value trap
Penman, Stephen H.; Reggiani, Francesco - In: Financial analysts' journal : FAJ 74 (2018) 4, pp. 103-119
Persistent link: https://www.econbiz.de/10011972787
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Climate policy and stranded carbon assets : a financial perspective
Ploeg, Frederick van der; Rezai, Armon - 2018
Persistent link: https://www.econbiz.de/10011896486
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How market sentiment drives forecasts of stock returns
Frydman, Roman; Mangee, Nicholas; Stillwagon, Josh - In: The journal of behavioral finance : a publication of … 22 (2021) 4, pp. 351-367
Persistent link: https://www.econbiz.de/10012649939
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Structural changes in the duration of bull markets and business cycle dynamics
Cruz, João; Nicolau, João; Rodrigues, Paulo M. M. - In: Asia Pacific financial markets 28 (2021) 3, pp. 333-352
Persistent link: https://www.econbiz.de/10012599789
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Predicting Stock Returns in the Presence of Uncertain Structural Changes and Sample Noise
Mantilla-Garcia, Daniel - 2017
The predictive power of the dividend-price ratio has been the subject of intense scrutiny. Most studies on return predictability assume that predictor variables follow stationary processes with constant long-run means. Following recent evidence of the role of structural breaks in the...
Persistent link: https://www.econbiz.de/10012971454