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Spurious inference in reduced-rank asset-pricing models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 5, pp. 1613-1628
Persistent link: https://www.econbiz.de/10011791596
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A fractionally integrated Wishart stochastic volatility model
Asai, Manabu; McAleer, Michael - In: Econometric reviews 36 (2017) 1/3, pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
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Too good to be true? : fallacies in evaluating risk factor models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2017
This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...
Persistent link: https://www.econbiz.de/10011757568
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Permanent breaks and temporary shocks in a time series
Lee, Yoonsuk; Brorsen, B. Wade - In: Computational economics 49 (2017) 2, pp. 255-270
Persistent link: https://www.econbiz.de/10011757584
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Copula structured M4 processes with application to high-frequency financial data
Zhang, Zhengjun; Zhu, Bin - In: Journal of econometrics 194 (2016) 2, pp. 231-241
Persistent link: https://www.econbiz.de/10011705118
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GMM estimation of non-Gaussian structural vector autoregression
Lanne, Markku; Luoto, Jani - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 69-81
Persistent link: https://www.econbiz.de/10012424500
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What's so special about time series momentum?
Cai, Haotian; Schmidt, Anatoly B. - In: The journal of investment strategies 9 (2020) 2, pp. 33-43
Persistent link: https://www.econbiz.de/10012597142
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Time series momentum and macroeconomic risk
Hutchinson, Mark; O'Brien, John - In: International review of financial analysis 69 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012316906
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Drawdown measures and return moments
Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42
Persistent link: https://www.econbiz.de/10011957033