Narrow search
Showing 1 - 10 of 11,338
Cover Image
Using causal graphs to test for the direction of instantaneous causality between economic policy uncertainty and stock market volatility
Raunig, Burkhard - In: Empirical economics : a quarterly journal of the … 65 (2023) 4, pp. 1579-1598
Persistent link: https://www.econbiz.de/10014388833
Cover Image
Political uncertainty and financial market reactions : a new test
Wang, Huiqiang; Boatwright, Annie L. - In: International economics : a journal published by CEPII … 160 (2019), pp. 14-30
Persistent link: https://www.econbiz.de/10012318856
Cover Image
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 205 (2018) 1, pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
Cover Image
Robust econometric inference for stock return predictability
Kostakis, Alexandros; Magdalinos, Tassos; … - In: The review of financial studies 28 (2015) 5, pp. 1506-1553
Persistent link: https://www.econbiz.de/10011338192
Cover Image
Statistical inferences for price staleness
Kolokolov, Aleksey; Livieri, Giulia; Pirino, Davide - 2018
design, we develop an inferential theory for nonparametrically testing, the null hypothesis that pt is constant over one day …. Under the alternative, which encompasses a semimartingale model for pt, we develop non-parametric inferential theory for the …
Persistent link: https://www.econbiz.de/10011927635
Cover Image
Designing realized Kernels to measure the ex post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 6, pp. 1481-1536
Persistent link: https://www.econbiz.de/10003797079
Cover Image
Statistical inference in multifractal random walk models for financial time series
Sattarhoff, Cristina - 2011
Persistent link: https://www.econbiz.de/10008990625
Cover Image
Predictive inference for integrated volatility
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric estimators of the aforementioned quantities,...
Persistent link: https://www.econbiz.de/10009130718
Cover Image
Predictive inference for integrated volatility
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10009130720
Cover Image
Predictive inference for integrated volatility
Corradi, Valentina (contributor);  … - 2006
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10003698497