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The bias in two-pass regression tests of asset-pricing models in presence of idiosyncratic errors with cross-sectional dependence
Gramespacher, Thomas; Bänziger, Armin - In: Review of Pacific Basin financial markets and policies 22 (2019) 2, pp. 1950012-1-1950012-17
Persistent link: https://www.econbiz.de/10012139945
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On the modeling of financial time series
Kutergin, Aleksey; Filimonov, Vladimir - In: Financial econometrics and empirical market microstructure, (pp. 131-151). 2015
Persistent link: https://www.econbiz.de/10011326692
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Detecting sudden changes in volatility estimated from high, low and closing prices
Kumar, Dilip; Maheswaran, S. - In: Economic modelling 31 (2013), pp. 484-491
Persistent link: https://www.econbiz.de/10009730777
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Estimating cross-sectional regressions in event studies with conditional heteroskedasticity and regression designs that have leverage
Karafiath, Imre - In: International journal of managerial finance : IJMF 10 (2014) 4, pp. 418-431
Persistent link: https://www.econbiz.de/10010411856
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Goodness-of-fit tests for parametric families of Archimedean copulas
Trede, Mark; Savu, Cornelia - 2004
Persistent link: https://www.econbiz.de/10002688693
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The asymptotic null distribution of the Box-Pierce q-statistic for random variables with infinite variance : an application to German stock returns
Runde, Ralf - In: Journal of econometrics 78 (1997) 2, pp. 205-216
Persistent link: https://www.econbiz.de/10001219989
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Estimating the density tail index for financial time series
Kearns, Phillip - In: The review of economics and statistics 79 (1997) 2, pp. 171-175
Persistent link: https://www.econbiz.de/10001222499
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Stochastic volatility in asset prices : estimation with simulated maximum likelihood
Daníelsson, Jón - In: Journal of econometrics 64 (1994) 1, pp. 375-400
Persistent link: https://www.econbiz.de/10001166420
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Estimation of the dynamic stochastic volatility model for asset price determination by simulated maximum likelihood
Daníelsson, Jón - 1991
Persistent link: https://www.econbiz.de/10000850752
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Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C.; Schäfer, Rudi; Guhr, Thomas - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1231-1246
Persistent link: https://www.econbiz.de/10009541998