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person:"Fornari, Fabio"
subject:"Share price"
~person:"Luger, Richard"
~subject:"Monetary union"
~type:"article"
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Fornari, Fabio
Luger, Richard
Maheswaran, S.
9
Li, Jia
8
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8
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6
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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
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:
3
Testing for GARCH effects with quasilikelihood ratios
Luger, Richard
- In:
Journal of risk
16
(
2013/2014
)
4
,
pp. 23-59
Persistent link: https://www.econbiz.de/10013262927
Saved in:
4
Recovering the probability density function of asset prices using garch as diffusion approximations
Fornari, Fabio
;
Mele, Antonio
- In:
Journal of empirical finance
8
(
2001
)
1
,
pp. 83-110
Persistent link: https://www.econbiz.de/10001568294
Saved in:
5
Estimating variability in the Italian stock market : an ARCH approach
Fornari, Fabio
- In:
Open economies review
4
(
1993
)
4
,
pp. 403-423
Persistent link: https://www.econbiz.de/10001158482
Saved in:
6
Variances and conditional correlations of EMS exchange rates : an analysis with a multivariate GARCH model
Fornari, Fabio
- In:
Journal of foreign exchange and international finance : …
5
(
1991
)
2
,
pp. 114-130
Persistent link: https://www.econbiz.de/10001129339
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