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Forecasting volatility under fractality, regime-switching, long memory and student-t innovations
Lux, Thomas; Morales-Arias, Leonardo - 2009
(GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …
Persistent link: https://www.econbiz.de/10003864486
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A duration hidden Markov model for the identification of regimes in stock market returns
Ntantamis, Christos - 2010
Persistent link: https://www.econbiz.de/10008651655
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Essays in empirical asset pricing
Gu, Li - 2006
Persistent link: https://www.econbiz.de/10003965316
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How tick size affects the high frequency scaling of stock return distributions
Curato, Gianbiagio; Lillo, Fabrizio - In: Financial econometrics and empirical market microstructure, (pp. 55-76). 2015
Persistent link: https://www.econbiz.de/10011326716
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Do short selling restrictions destabilize stock markets? : lessons from Taiwan
Bohl, Martin T.; Essid, Badye; Siklos, Pierre L. - In: The quarterly review of economics and finance : journal … 52 (2012) 2, pp. 198-206
Persistent link: https://www.econbiz.de/10009700519
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Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density
Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - 2011
-price density estimation proposed by Ai͏̈t-Sahalia and Lo (1998). Bayes factors, Gaussian-component mixture density, Markov chain …
Persistent link: https://www.econbiz.de/10009406374
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Inflation and stock returns, [part] II
Azar, Samih Antoine - In: International journal of economics and finance 6 (2014) 1, pp. 208-216
Persistent link: https://www.econbiz.de/10010237306
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Do Asia-Pacific stock prices follow a random walk? : a regime-switching perspective
Shen, Xin; Holmes, Mark J. - In: Applied economics letters 21 (2014) 1/3, pp. 189-195
Persistent link: https://www.econbiz.de/10010239896
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Predicting stock returns : a regime-switching combination approach and economic links
Zhu, Xiaoneng; Zhu, Jie - In: Journal of banking & finance 37 (2013) 11, pp. 4120-4133
Persistent link: https://www.econbiz.de/10010245613
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Modeling persistence and long memory under the impact of regime shifts in the PIGS stock market
Kumar, Dilip; Maheswaran, S. - In: Decision 40 (2013) 1/2, pp. 117-134
Persistent link: https://www.econbiz.de/10010381136