Similar Search Results

Cross-sectional tests of asset pricing models with full-rank mimicking portfolios

Kim, Jinyong; Kim, Kun Ho; Lee, Jeong Hwan - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012822275

The effect of TARP on loan loss provisions and bank transparency

Kim, Jinyong; Kim, Mingook; Lee, Jeong Hwan - In: Journal of banking & finance 102 (2019), pp. 79-99

Persistent link: https://www.econbiz.de/10012162777

Inference of the trend in a partially linear model with locally stationary regressors

Kim, Kun Ho - In: Econometric reviews 35 (2016) 5/7, pp. 1194-1220

Persistent link: https://www.econbiz.de/10011591175

Parametric specification test for nonlinear autoregressive models

Kim, Kun Ho; Zhang, Ting; Wu, Wei Biao - In: Econometric theory 31 (2015) 5, pp. 1078-1101

Persistent link: https://www.econbiz.de/10011545520

Capital asset pricing model : a time-varying volatility approach

Kim, Kun Ho; Kim, Taejin - In: Journal of empirical finance 37 (2016), pp. 268-281

Persistent link: https://www.econbiz.de/10011663058

Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions

Baillie, Richard; Kim, Kun Ho - In: Journal of empirical finance 34 (2015), pp. 99-111

Persistent link: https://www.econbiz.de/10011557073

Choices between OLS with robust inference and feasible GLS in time series regressions

Baillie, Richard; Kim, Kun Ho - In: Economics letters 171 (2018), pp. 218-221

Persistent link: https://www.econbiz.de/10012021807

A New Test for Market Efficiency and Uncovered Interest Parity

Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - National Bureau of Economic Research - 2022

We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parameter estimates, and is not dependent on assumptions of strict exogeneity. This new approach is asymptotically more...

Persistent link: https://www.econbiz.de/10013462687

A new test for market efficiency and uncovered interest parity

Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - In: Journal of international money and finance 130 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014248790

A specification test based on convolution-type distribution function estimates for non-linear autoregressive processes

Kim, Kun Ho; Koul, Hira L.; Kim, Jiwoong - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 187-206). 2023

Persistent link: https://www.econbiz.de/10014313667