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Cai, Ye; Shintani, Mototsugu - In: Econometric theory 22 (2006) 3, pp. 347-372

Persistent link: https://www.econbiz.de/10003307468

Monitoring constancy of variance in conditionally heteroskedastic time series

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Why is consumption more log normal than income? : Gibrat's law revisited

Battistin, Erich; Blundell, Richard W.; Lewbel, Arthur - 2007 - rev.

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Capital allocation and risk contribution with discrete-time coherent risk

Cherny, Alexander S. - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 13-40

Persistent link: https://www.econbiz.de/10003818201

Two estimators of the long-run variance : beyond short memory

Abadir, Karim Maher; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 150 (2009) 1, pp. 56-70

Persistent link: https://www.econbiz.de/10003847512

Forecasting random walks under drift instability

Pesaran, M. Hashem; Pick, Andreas - 2008

Persistent link: https://www.econbiz.de/10003850869

Semiparametric predictive mean matching

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Dual characterization of properties of risk measures on Orlicz hearts

Cheridito, Patrick; Li, Tianhui - In: Mathematics and financial economics 2 (2008) 1, pp. 29-55

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Expected returns and volatility of Fama-French factors

Chabi-Yo, Fousseni - 2009 - This version: September 25, 2009

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On J.M. Keynes' "The principal averages and the laws of error which lead to them" : refinement and generalisation

Klein, Ingo; Grottke, Michael - 2008

Keynes (1911) derived general forms of probability density functions for which the “most probable value” is given by the arithmetic mean, the geometric mean, the harmonic mean, or the median. His approach was based on indirect (i.e., posterior) distributions and used a constant prior...

Persistent link: https://www.econbiz.de/10003894722