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Payout yield, risk, and mispricing : a Bayesian analysis

Shanken, Jay; Tamayo, Ane - In: Journal of financial economics 105 (2012) 1, pp. 131-152

Persistent link: https://www.econbiz.de/10009622431

News driven business cycles and data on asset prices in estimated DSGE models

Avdjiev, Stefan - 2011

Persistent link: https://www.econbiz.de/10009388079

Exploiting common features in macroeconomic and financial data

Çakmaklı, Cem - 2012

Persistent link: https://www.econbiz.de/10009713424

On the correlation between commodity and equity returns : implications for portfolio allocation

Lombardi, Marco; Ravazzolo, Francesco - 2013

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Can CDS indexes signal future turmoils in the stock market? : a Markov switching perspective

Castellano, Rosella; Scaccia, Luisa - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 285-305

Persistent link: https://www.econbiz.de/10010356926

Forecasting stock returns under economic constraints

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - 2013

Persistent link: https://www.econbiz.de/10010231826

Inference on self-exciting jumps in prices and volatility using high frequency measures

Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - 2013

Persistent link: https://www.econbiz.de/10010245443

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart F.; Dijk, Herman … - 2014

In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a cointegration model, of pairs of stock prices. We show...

Persistent link: https://www.econbiz.de/10010259626

Hierarchical Markov normal mixture models with applications to financial asset returns

Geweke, John; Amisano, Gianni - In: Journal of applied econometrics 26 (2011) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10008937004

Regression models for ordinal valued time series with application to high frequency financial data

Müller, Gernot; Czado, Claudia - 2002

Persistent link: https://www.econbiz.de/10001744451