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Are correlations constant over time? : application of the CC-TRIGt-test to return series from different asset classes
Fischer, Matthias (contributor) - 2007
A new test for constant correlation is proposed. Based on the bivariate Student-t distribution, this test is derived as Lagrange multiplier (LM) test. Whereas most of the traditional tests (e.g. Jennrich, 1970, Tang, 1995 and Goetzmann, Li & Rouwenhorst, 2005) specify the unknown correlations as...
Persistent link: https://www.econbiz.de/10003633489
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On the size of the DF-GLS test
Vougas, Dimitrios V. - In: Applied economics letters 15 (2008) 10/12, pp. 777-780
Persistent link: https://www.econbiz.de/10003785629
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Stresstests in Banken : von Basel II bis ICAAP
Klauck, Kai-Oliver (ed.); Stegmann, Claus (ed.) - 2006
Persistent link: https://www.econbiz.de/10003320458
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Semiparametric estimation and testing of the trend of temperature series
Gao, Jiti; Hawthorne, Kim - In: The econometrics journal 9 (2006) 2, pp. 332-355
Persistent link: https://www.econbiz.de/10003352060
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Das Testen der Martingaleigenschaft
Wittmann, Philippe - 2010 - 1. Aufl.
Persistent link: https://www.econbiz.de/10008809144
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Bayesian model averaging and identification of structural breaks in time series
Balcombe, Kelvin G.; Fraser, Iain M.; Sharma, Abhijit - In: Applied economics 43 (2011) 25/27, pp. 3805-3818
Persistent link: https://www.econbiz.de/10009380621
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Erklärung von "Mean Reversion" auf internationalen Aktienmärkten
Tolksdorf, Norbert - 2002
Trotz jahrzehntelanger Forschung zur Gültigkeit der Hypothese informationseffizienter Kapitalmärkte (EMH) sind wesentliche damit verbundene Fragestellungen noch immer ungeklärt. Eine ist diejenige nach der Existenz und der Erklärung von zeitvariablen Überrenditen ("Time Varying Excess...
Persistent link: https://www.econbiz.de/10011402080
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Data snooping and the global accrual anomaly
Leippold, Markus; Lohre, Harald - In: Applied financial economics 22 (2012) 7/9, pp. 509-535
Persistent link: https://www.econbiz.de/10009624402
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Die Trennschärfe von Ratingfunktionen
Beinert, Claudia; Reichling, Peter; Vogt, Bodo - 2005
Persistent link: https://www.econbiz.de/10002923981