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Interpreting productivity growth in the new economy : some agnostic notes
Gundlach, Erich - 2001
The growth rate of total factor productivity seems to have increased recently, at least in the United States. Higher US … productivity growth may justify higher stock market valuations than in the past and thus herald an emerging New Economy. However …, the size of the estimated growth rate of total factor productivity depends on an assumption about the factor …
Persistent link: https://www.econbiz.de/10011477079
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Self-exciting extreme value models for stock market crashes
Herrera, Rodrigo; Schipp, Bernhard - In: Statistical inference, econometric analysis and matrix …, (pp. 209-231). 2009
Persistent link: https://www.econbiz.de/10003781013
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Modelling, estimation and visualization of multivariate dependence for high-frequency data
Brodin, Erik; Klüppelberg, Claudia - In: Statistical modelling and regression structures : …, (pp. 267-300). 2010
Persistent link: https://www.econbiz.de/10003964488
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Risk measurement with a safety belt : Pareto meets Chebyshev
Tödter, Karl-Heinz - In: Kredit und Kapital 45 (2012) 2, pp. 175-187
Persistent link: https://www.econbiz.de/10009580916
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Intangible capital and stock market
Li, Nan - 2005
Persistent link: https://www.econbiz.de/10003173555
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Measuring risks for consumers, firms, and investors in the digital economy
Alves Werb, Gabriela - 2020
Persistent link: https://www.econbiz.de/10012618693
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What does stock ownership breadth measure?
Choi, James J.; Jin, Li; Yan, Hongjun - In: Review of finance : journal of the European Finance … 17 (2013) 4, pp. 1239-1278
Persistent link: https://www.econbiz.de/10009776240
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009
&P 500 index confirms the simulation results. -- covariance estimation ; blocking ; realized kernel ; regularization …
Persistent link: https://www.econbiz.de/10003893144
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009
&P 500 index confirms the simulation results. -- Covariance Estimation ; Blocking ; Realized Kernel ; Regularization …
Persistent link: https://www.econbiz.de/10003909174
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...
Persistent link: https://www.econbiz.de/10008663394