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Does the stock market contain information about economic growth? : time-varying out of sample causality tests

Ciner, Cetin - In: Applied economics letters 26 (2019) 13, pp. 1138-1142

Persistent link: https://www.econbiz.de/10012204566

Does Systematic Sampling Preserve Granger Causality with an Application to High Frequency Financial Data?

Abeysinghe, Tilak - 2017

causal inference and systematic sampling of stationary variables preserves the direction of causality. This paper examines … results. Quite contrary to the stationary case, this paper shows that systematic sampling of integrated series may induce … spurious causality. In particular, systematic sampling induces spurious bi-directional Granger causality among the variables if …

Persistent link: https://www.econbiz.de/10012964296

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

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

Dong, Yingjie; Tse, Yiu Kuen - In: Econometrics : open access journal 5 (2017) 4, pp. 1-19

We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We … estimates using our proposed sampling strategy provide smaller root mean-squared error. …

Persistent link: https://www.econbiz.de/10011781945

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

The tensions between books and book markets as expressions of culture and books as products in profit-making businesses are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for books through laws concerning prices of books, grants...