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Don't break the habit : structural stability tests of consumption asset pricing models in the UK
Hyde, Stuart; Sherif, Mohamed - In: Applied economics letters 12 (2005) 5, pp. 289-296
Persistent link: https://www.econbiz.de/10002753343
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 110-129
Persistent link: https://www.econbiz.de/10011704120
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Sectoral differences in the choice of the time horizon during estimation of the unconditional stock beta
Dadakas, Dimitrios; Karpetis, Christos; Fassas, Athanasios - In: International Journal of Financial Studies : open … 4 (2016) 4, pp. 1-13
The stock beta coefficient literature extensively discusses the proper methods for the estimation of beta as well as … beta estimation, differentiating our results by sector according to the Industry Classification Benchmark. We employ data …
Persistent link: https://www.econbiz.de/10011606725
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - 2015 - This version: June 6, 2015
Persistent link: https://www.econbiz.de/10011809314
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Structural breaks in panel data : large number of panels and short length time series
Antoch, Jaromír; Hanousek, Jan; Horváth, Lajos; … - In: Econometric reviews 38 (2019) 7, pp. 828-855
Persistent link: https://www.econbiz.de/10012181361
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Equity premium estimates from economic fundamentals under structural breaks
Smith, Simon C. - In: International review of financial analysis 52 (2017), pp. 49-61
Persistent link: https://www.econbiz.de/10011868696
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Time-varying factor selection : a sparse fused GMM approach
Cui, Liyuan; Feng, Guanhao; Hong, Yongmiao; Yang, Jiangshan - 2023
Persistent link: https://www.econbiz.de/10014371831
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Factor selection and structural breaks
Chib, Siddhartha; Smith, Simon C. - 2024 - Draft: May 31, 2024
Persistent link: https://www.econbiz.de/10015055696
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The stationarity of South Asian real exchange rates allowing for structural breaks
Hoque, Ariful; Banerjee, Rajabrata - In: Australasian accounting business and finance journal : AABF 8 (2014) 3, pp. 45-54
Persistent link: https://www.econbiz.de/10010520022
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Modelling inflation shifts and persistence in Tunisia : perspectives from an evolutionary spectral approach
Ftiti, Zied; Guesmi, Khaled; Nguyen, Duc Khuong; … - In: Applied economics 47 (2015) 55/57, pp. 6200-6210
Persistent link: https://www.econbiz.de/10011381288