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The Markov switching multi-fractal model of asset returns : estimation and forecasting of dynamic volatitility with multinomial specifications

Lee, Hwa Taek - 2007

Persistent link: https://www.econbiz.de/10003767966

Testing for predictability in a noninvertible ARMA model

Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - 2012

We develop likelihood-based tests for autocorrelation and predictability in a first order non-Gaussian and noninvertible ARMA model. Tests based on a special case of the general model, referred to as an all-pass model, are also obtained. Data generated by an all-pass process are uncorrelated...

Persistent link: https://www.econbiz.de/10009621936

Time-varying effects of housing and stock returns on U.S. consumption

Simo-Kengne, Beatrice D.; Miller, Stephen M.; Gupta, Rangan - In: The journal of real estate finance and economics 50 (2015) 3, pp. 339-354

Persistent link: https://www.econbiz.de/10011474541

Predictive ability of three different estimates of "cay" to excess stock returns : a comparative study for South Africa and USA

Emara, Noha - In: European research studies : an international … 17 (2014) 1, pp. 3-17

Persistent link: https://www.econbiz.de/10011383243

Dynamic mixture models for financial time series

Haas, Markus - 2004 - 1. Aufl.

Inaugural -Dissertation zur Erlangung des Grades eines Doktors der Wirtschafts -und Sozialwissenschaften der Wirtschafts -und Sozialwissenschaftlichen Fakultät der Christian -Albrechts -Universität zu Kiel The objective of this study is the development and application of models for financial...