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Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization
Kim, Chang-Jin; Nelson, Charles R.; Startz, Richard - In: Journal of empirical finance 5 (1998) 2, pp. 131-154
Persistent link: https://www.econbiz.de/10001374883
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Multivariate stochastic volatility models : estimation and a comparison with VGARCH models
Daníelsson, Jón - In: Journal of empirical finance 5 (1998) 2, pp. 155-173
Persistent link: https://www.econbiz.de/10001374884
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Testing for mean reversion in heteroskedastic data II : autoregression tests based on Gibbs-sampling-augmented randomization
Kim, Chang-Jin; Nelson, Charles R. - In: Journal of empirical finance 5 (1998) 4, pp. 385-396
Persistent link: https://www.econbiz.de/10001375196
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Asset pricing models with and without consumption data : an empirical evaluation
Hardouvelis, Gikas A. - In: Journal of empirical finance 3 (1996) 3, pp. 267-301
Persistent link: https://www.econbiz.de/10001206313
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Empirical tests of the Longstaff extendible warrant model
Hauser, Shmuel - In: Journal of empirical finance 3 (1996) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10001208679
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Long term dependence in stock returns
Jacobsen, Ben - In: Journal of empirical finance 3 (1996) 4, pp. 393-417
Persistent link: https://www.econbiz.de/10001215361
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - In: Journal of empirical finance 45 (2018), pp. 228-242
Persistent link: https://www.econbiz.de/10012102423
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Maximal predictability under long-term mean reversion
Hjalmarsson, Erik - In: Journal of empirical finance 45 (2018), pp. 269-282
Persistent link: https://www.econbiz.de/10012102446
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Momentum of return predictability
Wang, Yudong; Liu, Li; Ma, Feng; Diao, Xundi - In: Journal of empirical finance 45 (2018), pp. 141-156
Persistent link: https://www.econbiz.de/10012102447
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Volatility in equity markets and monetary policy rate uncertainty
Kaminska, Iryna; Roberts-Sklar, Matt - In: Journal of empirical finance 45 (2018), pp. 68-83
Persistent link: https://www.econbiz.de/10012102459