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Predicting the credit cycle with an autoregressive model

Höse, Steffi; Vogl, Konstantin - 2005

Persistent link: https://www.econbiz.de/10013441120

LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise

Zhang, Xingfa; Zhang, Rongmao; Li, Yuan; Ling, Shiqing - In: Journal of econometrics 227 (2022) 1, pp. 228-240

Persistent link: https://www.econbiz.de/10013441651

Functional time series approach to analyzing asset returns co-movements

Saart, Patrick W.; Xia, Yingcun - In: Journal of econometrics 229 (2022) 1, pp. 127-151

Persistent link: https://www.econbiz.de/10013441838

Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect

Hoshino, Tadao - In: Journal of econometrics 229 (2022) 2, pp. 263-275

Persistent link: https://www.econbiz.de/10013441870

Agglomeration within and between regions : two econometric based indicators

Di Giacinto, Valter - 2008

Persistent link: https://www.econbiz.de/10013442634

The disposition effect and momentum

Zuchel, Heiko - 2001

Persistent link: https://www.econbiz.de/10013443064

GMM estimation of spatial autoregressive models with cluster dependent errors

Sato, Takaki - 2022

Persistent link: https://www.econbiz.de/10013445728

The illusion of oil return predictability : the choice of data matters!

Conlon, Thomas; Cotter, John; Eyiah-Donkor, Emmanuel - In: Journal of banking & finance 134 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013400116

Herding in the Chinese Renewable Energy Market : Evidence from a Bootstrapping Time-varying Coefficient Autoregressive Model

Ren, Boru; Lucey, Brian M. - 2022

In this paper, we examine the herding behaviour of the Chinese renewable energy sector using both static and time-varying coefficient models. Examining daily data from January 05, 2015 to April 29, 2022, we find strong evidence of herding behaviour changing over time in this market. We find that...

Persistent link: https://www.econbiz.de/10013404369

Predicting Momentum

Ma, Siyuan - 2022

This paper examines to what extent the momentum spread ratio (MSR) can predict momentum profits. The momentum spread ratio as a potential proxy of investor underreaction can significantly predict the momentum, industry momentum, and residual momentum, especially after 1994, suggesting that...

Persistent link: https://www.econbiz.de/10013404733