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Testing predictability of stock returns under possible bubbles

Yang, Bingduo; Long, Wei; Yang, Zihui - In: Journal of empirical finance 68 (2022), pp. 246-260

Persistent link: https://www.econbiz.de/10013464495

A Unified Predictability Test Using Weighted Inference And Random Weighted Bootstrap

Yang, Bingduo; Long, Wei; Liu, Xiaohui; Peng, Liang - 2022

Predictive regressions are widely used in empirical economics and finance to investigate the Granger causality test, linear rational expectations hypothesis test, and market efficiency hypothesis. This paper develops a new unified predictability test regardless of the properties of predictors....

Persistent link: https://www.econbiz.de/10013405577

A robust test for predictability with unknown persistence

Liu, Guannan; Yao, Shuang - In: Economics letters 189 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012228019

Nonparametric Knn estimation with monotone constraints

Li, Zheng; Liu, Guannan; Li, Qi - In: Econometric reviews 36 (2017) 6/9, pp. 988-1006

Persistent link: https://www.econbiz.de/10011795554

Testing error serial correlation in fixed effects nonparametric panel data models

Green, Carl; Long, Wei; Hsiao, Cheng - In: Journal of econometrics 188 (2015) 2, pp. 466-473

Persistent link: https://www.econbiz.de/10011503631

Unified tests for a dynamic predictive regression

Yang, Bingduo; Liu, Xiaohui; Peng, Liang; Cai, Zongwu - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 684-699

Persistent link: https://www.econbiz.de/10012588007

Unified tests for a dynamic predictive regression

Yang, Bingduo; Liu, Xiaohui; Peng, Liang; Cai, Zongwu - 2018

Persistent link: https://www.econbiz.de/10011965817

A unified test for predictability of asset returns regardless of properties of predicting variables

Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang - In: Journal of econometrics 208 (2019) 1, pp. 141-159

Persistent link: https://www.econbiz.de/10012139823

A Lagrange multiplier test for causality in variance

Hafner, Christian M.; Herwartz, Helmut - In: Economics letters 93 (2006) 1, pp. 137-141

Persistent link: https://www.econbiz.de/10003380170

Testing for causality in variance using multivariate GARCH models

Hafner, Christian M.; Herwartz, Helmut - In: Annales d'économie et de statistique 89 (2008), pp. 215-241

Persistent link: https://www.econbiz.de/10003875586