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Dynamic cross-autocorrelation in stock returns

Kinnunen, Jyri - In: Journal of empirical finance 40 (2017), pp. 162-173

Persistent link: https://www.econbiz.de/10011744473

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

Dong, Yingjie; Tse, Yiu Kuen - In: Econometrics : open access journal 5 (2017) 4, pp. 1-19

We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transactions are obtained using the inverse of the TT...

Persistent link: https://www.econbiz.de/10011781945

Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2017

Persistent link: https://www.econbiz.de/10011782226

A simple nonlinear predictive model for stock returns

Cai, Biqing; Gao, Jiti - 2017

Persistent link: https://www.econbiz.de/10011782256

Fitting the Nigeria stock market return series using GARCH models

Usman, U.; Auwal, H. M.; Abdulmuhyi, M. A. - In: Theoretical economics letters 7 (2017) 7, pp. 2159-2176

Persistent link: https://www.econbiz.de/10011785913

Macroeconomic fundamental and stock price index in Southeast Asia countries a comparative study

Wahyudi, Sugeng; Hersugondo; Laksana, Rio Dhani; Rudy, R. - In: International journal of economics and financial issues … 7 (2017) 2, pp. 182-187

Persistent link: https://www.econbiz.de/10011786565

Volatilitätsprognosen für deutsche Aktienkurse mit ARCH- und Markov-Mischungsmodellen

Schmitt, Christian - 1994

In dieser Untersuchung wird gezeigt, wie neuere ökonometrische Verfahren zur Modellierung und Prognose von … von einer konstanten Varianz ausgeht, bei der Prognose von Volatilitäten überlegen ist. …

Persistent link: https://www.econbiz.de/10011622802

Inference theory for volatility functional dependencies

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Journal of econometrics 193 (2016) 1, pp. 17-34

Persistent link: https://www.econbiz.de/10011704756

Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data

Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230

Persistent link: https://www.econbiz.de/10011705111

Asset pricing using Block-Cholesky GARCH and time-varying betas

Grassi, Stefano; Violante, Francesco - 2021

Persistent link: https://www.econbiz.de/10012543884