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Long-term memory in stock market prices
Lo, Andrew W. - 1989
Persistent link: https://www.econbiz.de/10000767657
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A permanent and transitory component model of stock return volatility
Engle, Robert F.; Lee, Gary G. J. - 1993 - [Rev.]
Persistent link: https://www.econbiz.de/10000877975
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Why long horizons? : a study of power against persistent alternatives
Campbell, John Y. - 1993
Persistent link: https://www.econbiz.de/10000879027
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Modelling economic high-frequency time series with STAR-STGARCH models
Lundbergh, Stefan; Teräsvirta, Timo - 1998
Persistent link: https://www.econbiz.de/10000168182
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Tactical size rotation in Switzerland
Hock, Thorsten (contributor) - 2008
The size premium, defined as the outperformance of equities of small and medium-sized companies compared with the shares of large companies, is subject to strong cyclical fluctuations over time. This study examines the predictability of this premium for the Swiss stock market. The forecasts used...
Persistent link: https://www.econbiz.de/10003650372
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A minimal noise trader model with realistic time series properties
Alfarano, Simone; Lux, Thomas - In: Long memory in economics : with 50 tables, (pp. 345-361). 2006
Persistent link: https://www.econbiz.de/10003357267
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Tests of stochastic dominance for time series data : theory and empirical application
Kläver, Hendrik - 2006
Die vorliegende Arbeit untersucht Tests auf stochastische Dominanz, welche ein grundlegendes Konzept der Entscheidungstheorie ist. Hierbei konzentrieren wir uns auf stochastische Dominanz erster und zweiter Ordnung. Diese sind die beiden wichtigsten Entscheidungsregeln und finden Anwendung in...
Persistent link: https://www.econbiz.de/10003315772
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Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
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Intermittency, long-memory and financial returns
Bhansali, Raj; Holland, Mark P.; Kokoszka, Piotr S. - In: Long memory in economics : with 50 tables, (pp. 39-68). 2006
Persistent link: https://www.econbiz.de/10003375590