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  • Search: subject:"Spa Test"
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Year of publication
Subject
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SPA test 17 Data snooping 7 Forecasting model 6 GARCH 6 Prognoseverfahren 6 Estimation 5 Schätzung 5 ARCH model 4 ARCH-Modell 4 Crude oil prices 4 Multifractal processes 4 Reality check 4 Statistical test 4 Statistischer Test 4 Theorie 4 Theory 4 Volatility 4 Volatilität 4 Anlageverhalten 3 Behavioral finance 3 Behavioural finance 3 Financial analysis 3 Finanzanalyse 3 Reality Check 3 Step-SPA test 3 Stepwise SPA test 3 Technical analysis 3 Trading rules 3 Bootstrap approach 2 Bootstrap-Verfahren 2 Candlestick 2 Estimation theory 2 FIGARCH 2 Forward Freight Agreements 2 GDP growth 2 GJR-based volatility forecasting 2 Market timing 2 Markov chain 2 Markov-Kette 2 Markov-switching GARCH 2
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Online availability
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Free 11 Undetermined 6
Type of publication
All
Article 13 Book / Working Paper 11
Type of publication (narrower categories)
All
Article in journal 7 Aufsatz in Zeitschrift 7 Working Paper 6 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4
Language
All
English 16 Undetermined 8
Author
All
Gupta, Rangan 6 Lux, Thomas 6 Hsu, Yu-Chin 5 Segnon, Mawuli 5 Chen, Yi-Chi 3 Hung, Jui-Cheng 3 Kuan, Chung-ming 3 Lu, Tsung-Hsun 3 Chang, Matthew C. 2 Chen, Shikuan 2 Doctor, Kaizad 2 Kuan, Chung-Ming 2 Nomikos, Nikos K. 2 Yen, Meng-Feng 2 Cai, Zongwu 1 Coakley, Jerry 1 Hsu, PH 1 Hsu, YC 1 Hsu, Yu-Chien 1 Hung, Jui-cheng 1 Jiang, Jiancheng 1 Kao, Hsiu-Hsueh 1 Kao, Yi-Cheng 1 Kao, Yi-cheng 1 Kuan, CM 1 Lee, Jun-de 1 Li, Fuxing 1 Lin, Yu 1 Lou, Tien-wei 1 Marzano, Michele 1 Nankervis, John C. 1 Ni, Ren-Xi 1 Segnon, Mawuli K. 1 Shih, Kuang-Hsun 1 Wang, Yi-Hsien 1 Wang, Yi-hsien 1 Yang, Xiaoming 1 Yen, Meng-feng 1 Zhang, Jingshuang 1
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Institution
All
Institute of Economics, Academia Sinica 2 Department of Economics, Faculty of Economic and Management Sciences 1 Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 1
Published in...
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Economics Bulletin 2 FinMaP-Working Paper 2 Finmap working paper 2 IEAS Working Paper : academic research 2 IEAS working paper 2 Applied economics 1 Economics Letters 1 Economics letters 1 Energy 1 Energy economics 1 FinMaP-Working Papers 1 International review of financial analysis 1 Journal of banking & finance 1 Journal of financial econometrics : official journal of the Society for Financial Econometrics 1 Transportation Research Part E: Logistics and Transportation Review 1 Transportation research / E : an international journal 1 Working Paper 1 Working Papers / Department of Economics, Faculty of Economic and Management Sciences 1
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Source
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ECONIS (ZBW) 11 RePEc 10 EconStor 2 BASE 1
Showing 1 - 10 of 24
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Forecasting crude oil price volatility via a HM-EGARCH model
Lin, Yu; Yang, Xiaoming; Li, Fuxing - In: Energy economics 87 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012512591
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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH)...
Persistent link: https://www.econbiz.de/10011296114
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Trend definition or holding strategy : what determines the profitability of candlestick technical trading strategies?
Lu, Tsung-Hsun; Chen, Yi-Chi; Hsu, Yu-Chin - 2015
Persistent link: https://www.econbiz.de/10011383125
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Modeling and forecasting crude oil price volatility : evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - 2015
ability (SPA) test, we evaluate and compare their forecasting performance at short and long horizons. The empirical results …
Persistent link: https://www.econbiz.de/10010488966
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Cover Image
Modeling and forecasting crude oil price volatility: Evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - 2015
ability (SPA) test, we evaluate and compare their forecasting performance at short and long horizons. The empirical results …
Persistent link: https://www.econbiz.de/10010491278
Saved in:
Cover Image
Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH)...
Persistent link: https://www.econbiz.de/10011306665
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Modeling and forecasting crude oil price volatility: Evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - Institut für Volkswirtschaftslehre, … - 2015
ability (SPA) test, we evaluate and compare their forecasting performance at short and long horizons. The empirical results …
Persistent link: https://www.econbiz.de/10011203171
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Cover Image
Trend Definition or Holding Strategy: What Determines the Profitability of Candlestick Technical Trading Strategies?
Lu, Tsung-Hsun; Chen, Yi-Chi; Hsu, Yu-Chin - Institute of Economics, Academia Sinica - 2014
We ask what determines the profitability of candlestick patterns. Is it the definition of trend and/or the holding strategy that one uses in candlestick charting analysis? To answer this, we conduct a systematic investigation by considering three definitions of trend and four holding strategies....
Persistent link: https://www.econbiz.de/10010929131
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A generalized stepwise procedure with improved power for multiple inequalities testing/ Yu-chin Hsu; Chung-ming Kuan; Meng-feng Yen
Hsu, Yu-Chin; Kuan, Chung-ming; Yen, Meng-feng - 2013
Persistent link: https://www.econbiz.de/10009703564
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Testing The Predictive Ability Of Technical Analysis Using A New Stepwise Test Without Data Snooping Bias
Hsu, PH; Hsu, YC; Kuan, CM - 2010
Bias. In This Paper We Extend The "Superior Predictive Ability" (Spa) Test Of Hansen (2005, Jbes) To A Stepwise Spa Test … The Stepwise Spa Test Is More Powerful Than The Stepwise Reality Check Test Of Romano And Wolf (2005, Econometrica). We …
Persistent link: https://www.econbiz.de/10009471387
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