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Modelling persistent stationary processes in continuous time

Jeong, Minsoo - In: Economic modelling 109 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013348235

Empirical asset pricing with nonlinear risk premia

Mijatovi´c, Aleksandar; Schneider, Paul - 2009

Persistent link: https://www.econbiz.de/10009428004

An asymptotic analysis of likelihood-based diffusion model selection using high frequency data

Choi, Hwan-sik; Jeong, Minsoo; Park, Joon Y. - In: Journal of econometrics 178 (2014) 1, pp. 539-557

Persistent link: https://www.econbiz.de/10010256867

Empirical asset pricing with nonlinear risk premia

Mijatovi´c, Aleksandar; Schneider, Paul - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 479-506

Persistent link: https://www.econbiz.de/10010391949

Complicating abandonment : how a multi-stage theory of abandonment clarifies the evolution of an adopted practice

Younkin, Peter - In: Organization studies : an international … 37 (2016) 7, pp. 1017-1053

Persistent link: https://www.econbiz.de/10011597297

Understanding temporal aggregation effects on kurtosis in financial indices

Lieberman, Offer; Phillips, Peter C. B. - 2018

Indices of ﬁnancial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the sampling interval increases. This paper uses stochastic unit root (STUR) and continuous time analysis to explain the phenomenon. Limit theory for the sample kurtosis reveals that...

Persistent link: https://www.econbiz.de/10011948760