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An answer to Roll's critique (1977) 45 years later
Desban, Marc; Diyarbakirlioglu, Erkin; Lajili Jarjir, Souad - In: Essays on Financial Analytics : Applications and Methods, (pp. 297-341). 2023
Persistent link: https://www.econbiz.de/10014338892
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Time-varying factor selection : a sparse fused GMM approach
Cui, Liyuan; Feng, Guanhao; Hong, Yongmiao; Yang, Jiangshan - 2023
Persistent link: https://www.econbiz.de/10014371831
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Essays in asset pricing and financial econometrics
Skoulakis, Georgios - 2006
Persistent link: https://www.econbiz.de/10003908302
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Out-of-sample stock return prediction using higher-order moments
Faias, José Afonso; Castel-Branco, Tiago - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-27
Persistent link: https://www.econbiz.de/10011926608
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Cross-sectional factor dynamics and momentum returns
Avramov, Doron; Hore, Satadru - In: Journal of financial markets 32 (2017), pp. 69-96
Persistent link: https://www.econbiz.de/10011814969
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An explanation for momentum with a rational model under symmetric information - Evidence from cross country equity markets
Koziol, Christian; Proelss, Juliane - In: Journal of international financial markets, … 70 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012668191
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A new structural break test for panels with common factors
Zhu, Huanjun; Sarafidis, Vasilis; Silvapulle, Mervyn J. - In: The econometrics journal 23 (2020) 1, pp. 137-155
Persistent link: https://www.econbiz.de/10012167253
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A quasi-differencing approach to dynamic modelling from a time series of independent cross-sections
Girma, Sourafel - In: Journal of econometrics 98 (2000) 2, pp. 365-383
Persistent link: https://www.econbiz.de/10001497793
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GMM estimation of time series models
Harris, David - In: Generalized method of moments estimation, (pp. 149-170). 1999
Persistent link: https://www.econbiz.de/10001437661
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A new estimator of the fractionally integrated stochastic volatility model
Wright, Jonathan H. - In: Economics letters 63 (1999) 3, pp. 295-303
Persistent link: https://www.econbiz.de/10001398938