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Beating the random walk : a performance assessment of long-term interest rate forecasts

Butter, Frank A. G. den; Jansen, Pieter W. - In: Applied financial economics 23 (2013) 7/9, pp. 749-765

Persistent link: https://www.econbiz.de/10009750989

Fundamentals, forecast combinations and nominal exchange-rate predictability

Wu, Jyh-lin; Wang, Yi-chiuan - In: International review of economics & finance : IREF 25 (2013), pp. 129-145

Persistent link: https://www.econbiz.de/10009693330

Dual quantization for random walks with application to credit derivatives

Pagès, Gilles; Wilbertz, Benedikt - In: The journal of computational finance 16 (2012/13) 2, pp. 33-60

Persistent link: https://www.econbiz.de/10009702578

Random walk to innovation : why productivity follows a power law

Ghiglino, Christian - In: Journal of economic theory 147 (2012) 2, pp. 713-737

Persistent link: https://www.econbiz.de/10009663684

Sums of exponentials of random walks with drift

Qu, Xi; Jong, Robert M. de - In: Econometric theory 28 (2012) 4, pp. 915-924

Persistent link: https://www.econbiz.de/10009669724

Do commodity prices follow a random walk? : an application of joint variance ratio tests

Nwala, Kingsley - In: International journal of finance & policy analysis : … 3 (2011) 1/2, pp. 30-39

Persistent link: https://www.econbiz.de/10009670082

Bayesian bandwidth selection in nonparametric time-varying coefficient models

Cheng, Tingting; Gao, Jiti; Zhang, Xibin - 2013

Persistent link: https://www.econbiz.de/10009713007

A new test in parametric linear models against nonparametric autoregressive errors

Gao, Jiti; King, Maxwell L. - 2011

This paper considers a class of parametric models with nonparametric autoregressive errors. A new test is proposed and studied to deal with the parametric specification of the nonparametric autoregressive errors with either stationarity or nonstationarity. Such a test procedure can initially...

Persistent link: https://www.econbiz.de/10009406282

Opracowanie metody badania wpływu zdarze´n ekstremalnych i superekstremalnych na stochastyczną dynamikę szeregów czasowych

Gubiec, Tomasz; Kutner, Ryszard; Werner, Tomasz - 2011

Persistent link: https://www.econbiz.de/10009419700

Varianzquotiententests und Random Walk Verhalten internationaler Aktienmärkte

Auer, Benjamin R.; Schuster, Martin - In: Management review quarterly : systematic literature … 64 (2014) 2, pp. 73-100

Varianzquotiententests gehören mittlerweile zum "State of the Art" der empirischen Untersuchung von Aktienkursen auf Random Walk Verhalten. Dieser Artikel gibt einen kompakten Überblicküber diese Verfahren und geht insbesondere auch auf aktuelle Bootstrap-Entwicklungen auf diesem Gebiet ein....

Persistent link: https://www.econbiz.de/10010356216