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Bidirectional volatility transmission between stocks and bond in East Asia : the quantile estimates based on wavelets
Živkov, Dejan; Kovačević, Jelena; Stankov, Biljana; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 49-65
Persistent link: https://www.econbiz.de/10014288820
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A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets
Casarin, Roberto; Sartore, Domenico; Tronzano, Marco - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 101-114
Persistent link: https://www.econbiz.de/10011894407
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The nonlinear dynamics of foreign reserves and currency crises
Chong, Terence Tai-Leung; He, Qing; Hinich, Melvin J. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 4, pp. 1-16
Persistent link: https://www.econbiz.de/10009513620
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A factor-adjusted multiple testing procedure with application to mutual fund selection
Lan, Wei; Du, Lilun - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 147-157
Persistent link: https://www.econbiz.de/10012176556
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Testing missing at random using instrumental variables
Breunig, Christoph - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 223-234
Persistent link: https://www.econbiz.de/10012176614
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Rank tests at jump events
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
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Testing for slope heterogeneity bias in panel data models
Campello, Murillo; Galvão Júnior, Antônio Fialho; … - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 749-760
Persistent link: https://www.econbiz.de/10012179380
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Testing nowcast monotonicity with estimated factors
Fosten, Jack; Gutknecht, Daniel - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 107-123
Persistent link: https://www.econbiz.de/10012179524
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Testing alphas in conditional time-varying factor models with high-dimensional assets
Ma, Shujie; Lan, Wei; Su, Liangjun; Tsai, Chih-Ling - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 214-227
Persistent link: https://www.econbiz.de/10012179549
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Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10011691256