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subject:"Structural break"
~isPartOf:"CEA_372Cass working paper series"
~isPartOf:"Journal of financial econometrics"
~subject:"Capital income"
~subject:"Factor analysis"
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Structural break
Capital income
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Statistical test
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Statistischer Test
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11
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11
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CEA_372Cass working paper series
Journal of financial econometrics
Journal of econometrics
33
Economics letters
19
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Econometric reviews
14
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
9
Applied economics letters
7
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
7
The European journal of finance
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Economic modelling
6
Journal of applied econometrics
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Journal of empirical finance
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CESifo working papers
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Discussion papers / Graduate School of Economics, Hitotsubashi University
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
International journal of forecasting
5
Journal of financial economics
5
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
5
The econometrics journal
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The review of financial studies
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Journal of time series econometrics
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Journal of financial markets
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Oxford bulletin of economics and statistics
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Pacific-Basin finance journal
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Quantitative economics : QE ; journal of the Econometric Society
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SFB 649 discussion paper
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The Singapore economic review : journal of the Economic Society of Singapore and the Department of Economics, National University of Singapore
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The empirical economics letters : a monthly international journal of economics
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ECONIS (ZBW)
11
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1
Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem
;
Yamagata, Takashi
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 407-460
Persistent link: https://www.econbiz.de/10014526327
Saved in:
2
A new test for multiple predictive regression
Xu, Ke-Li
;
Guo, Junjie
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 119-156
Persistent link: https://www.econbiz.de/10014526308
Saved in:
3
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:
4
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
5
Testing for regime changes in portfolios with a large number of assets : a robust approach to factor heteroskedasticity
Massacci, Daniele
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 316-367
Persistent link: https://www.econbiz.de/10014314751
Saved in:
6
A GMM skewness and kurtosis ratio test for higher moment dependence
Wong, Woon K.
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 307-332
Persistent link: https://www.econbiz.de/10012232960
Saved in:
7
Identification-robust factor pricing : Canadian evidence
Beaulieu, Marie-Claude
;
Dufour, Jean-Marie
;
Khalaf, Lynda
-
2015
Persistent link: https://www.econbiz.de/10011284807
Saved in:
8
Efficient sorting : a more powerful test for cross-sectional anomalies
Ledoit, Olivier
;
Wolf, Michael
;
Zhao, Zhao
- In:
Journal of financial econometrics
17
(
2019
)
4
,
pp. 645-686
Persistent link: https://www.econbiz.de/10012152240
Saved in:
9
Detecting multiple structural breaks : dummy saturation vs sequential bootstrapping : with an application to the Fisher relationship for US
Bergamelli, Michele
;
Urga, Giovanni
-
2014
Persistent link: https://www.econbiz.de/10010440746
Saved in:
10
Identifying jumps in financial assets : a comparison between nonparametric jump tests
Dumitru, Ana-Maria
;
Urga, Giovanni
-
2011
Persistent link: https://www.econbiz.de/10009381375
Saved in:
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