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Forecasting stock returns using bilinearities in fundamentals and macroeconomic variables
Dijk, Ronald van; Kloek, Teunis; Lucas, André - 1996
Persistent link: https://www.econbiz.de/10000966934
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Stock selection, style rotation, and risk
Lucas, André; Dijk, Ronald van; Kloek, Teunis - In: Journal of empirical finance 9 (2002) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10001655776
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Stock selection, style rotation, and risk
Lucas, André; Dijk, Ronald van; Kloek, Teunis - 2001
Persistent link: https://www.econbiz.de/10001554542
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Positivity conditions for stochastic state space modelling of time series
Heij, Christiaan - In: Econometric reviews 11 (1992) 3, pp. 379-396
Persistent link: https://www.econbiz.de/10001133926
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Outlier robust GMM estimation of leverage determinants
Lucas, André; Dijk, Ronald van; Kloek, Teun - 1994
Persistent link: https://www.econbiz.de/10000151692
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A periodic cointegration model of quarterly consumption in Austria and Japan
Franses, Philip Hans; Kloek, Teunis - 1991
Persistent link: https://www.econbiz.de/10000842028
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A contribution to event study methodology with an application to the Dutch stock market
Jong, Frank de - In: Journal of banking & finance 16 (1992) 1, pp. 11-36
Persistent link: https://www.econbiz.de/10001330029
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Stock Selection, Style Rotation, and Risk
Lucas, André; van Dijk, Ronald; Kloek, Teun - 2001
Using US data from June 1984 to July 1999, we show that the impact of firm-specificcharacteristics like size and book-to-price on future excess stock returns varies considerably overtime. The impact can be either positive or negative at different times. This time variation ispartially...
Persistent link: https://www.econbiz.de/10010324923
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Unit root tests based on M estimators
Lucas, André - In: Econometric theory 11 (1995) 2, pp. 331-346
Persistent link: https://www.econbiz.de/10001185251
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An outlier robust unit root test with an application to the extended Nelson-Plosser data
Lucas, André - In: Journal of econometrics 66 (1995) 1, pp. 153-173
Persistent link: https://www.econbiz.de/10001174120