Similar Search Results

Where (and by how much) does a theory break down? : with an application to the expectation hypothesis

Abadir, Karim Maher; Atanasova, Christina - In: Essays in honor of M. Hashem Pesaran : panel modeling, …, (pp. 255-267). 2022

Persistent link: https://www.econbiz.de/10013194564

The unconventional dynamics of economic and financial aggregates

Abadir, Karim Maher; Talmain, Gabriel - In: Handbook of empirical economics and finance, (pp. 205-213). 2011

Persistent link: https://www.econbiz.de/10009130157

Link of moments before and after transformations, with an application to resampling from fat-tailed distributions

Abadir, Karim Maher; Cornea-Madeira, Adriana - In: Econometric theory 35 (2019) 3, pp. 630-652

Persistent link: https://www.econbiz.de/10012146160

Statistics

Abadir, Karim Maher; Heijmans, Risto; Magnus, Jan R. - 2019

Persistent link: https://www.econbiz.de/10011976163

Explicit solutions for the asymptotically-optimal bandwidth in cross validation

Abadir, Karim Maher; Lubrano, Michel - 2023

Persistent link: https://www.econbiz.de/10014444402

Testing for unit root processes in random coefficient autoregressive models

Distaso, Walter - In: Journal of econometrics 142 (2008) 1, pp. 581-609

Persistent link: https://www.econbiz.de/10003608216

ARMA representation of squared Markov switching heteroskedastic models - solution

Distaso, Walter - In: Econometric theory 19 (2003) 2, pp. 412-413

Persistent link: https://www.econbiz.de/10001745838

Semi-parametric comparison of stochastic volatility models using realized measures

Corradi, Valentina; Distaso, Walter - In: The review of economic studies 73 (2006) 3, pp. 635-667

Persistent link: https://www.econbiz.de/10003342934

Macroeconomic determinants of stock market returns, volatility and volatility risk-premia

Corradi, Valentina (contributor); … - 2008

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility and volatility risk-premia are stochastic and derive...

Persistent link: https://www.econbiz.de/10003848514

Assessing market microstructure effects via realized volatility measures with an application to the Dow Jones Industrial Average stocks

Awartani, Basel; Corradi, Valentina; Distaso, Walter - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 251-265

Persistent link: https://www.econbiz.de/10003885789

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