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person:"Fornari, Fabio"
subject:"Share price"
~person:"Bauwens, Luc"
~person:"Luger, Richard"
~person:"Todorov, Viktor"
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Search: subject_exact:"Estimation theory"
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Share price
Estimation theory
81
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81
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31
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Fornari, Fabio
Bauwens, Luc
Luger, Richard
Todorov, Viktor
Kapetanios, George
12
Pesaran, M. Hashem
12
Linton, Oliver
10
Tauchen, George Eugene
10
Maheswaran, S.
9
Bailey, Natalia
8
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8
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7
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7
Malec, Peter
7
Runde, Ralf
7
Teräsvirta, Timo
7
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6
Kim, Donggyu
6
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6
Zakoïan, Jean-Michel
6
Bibinger, Markus
5
Engle, Robert F.
5
Kumar, Dilip
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Sentana, Enrique
5
Shephard, Neil G.
5
Silvennoinen, Annastiina
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4
Amilon, Henrik
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4
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Feng, Yuanhua
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4
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4
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2
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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ECONIS (ZBW)
23
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1
Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin
;
Luger, Richard
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
Saved in:
2
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
4
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
5
Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Gungor, Sermin
;
Luger, Richard
-
2017
We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock...
Persistent link: https://www.econbiz.de/10011618038
Saved in:
6
Exact Inference in Predictive Quantile Regressions with an Application to Stock Returns
Gungor, Sermin
-
2017
We develop an exact and distribution-free procedure to test for quantile predictability at several quantile levels jointly, while allowing for an endogenous predictive regressor with any degree of persistence. The approach proceeds by combining together the quantile regression t-statistics from...
Persistent link: https://www.econbiz.de/10012946689
Saved in:
7
Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Gungor, Sermin
;
Luger, Richard
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 750-770
Persistent link: https://www.econbiz.de/10012483180
Saved in:
8
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
9
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
10
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
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