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The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts
Varneskov, Rasmus Tangsgaard; Voev, Valeri - In: Journal of empirical finance 20 (2013), pp. 83-95
Persistent link: https://www.econbiz.de/10009717873
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Tests of return predictability : an analysis of their properties based on a continuous time asymptotic framework
Perron, Pierre; Vodounou, Cosmé - In: Journal of empirical finance 11 (2004) 2, pp. 203-230
Persistent link: https://www.econbiz.de/10001981312
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Sampling interval and estimated betas : implications for the presence of transitory components in stock prices
Perron, Pierre; Chun, Sungju; Vodounou, Cosmé - In: Journal of empirical finance 20 (2013), pp. 42-62
Persistent link: https://www.econbiz.de/10009717878
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Modeling and forecasting stock return volatility using a random level shift model
Lu, Yang K.; Perron, Pierre - In: Journal of empirical finance 17 (2010) 1, pp. 138-156
Persistent link: https://www.econbiz.de/10003943961
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The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts
Varneskov, Rasmus; Voev, Valeri - In: Journal of empirical finance 20 (2013), pp. 83-95
Persistent link: https://www.econbiz.de/10010063416
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When does the dividend–price ratio predict stock returns?
Lu, Yang K.; Perron, Pierre - In: Journal of empirical finance 17 (2010) 1, pp. 81-102
Persistent link: https://www.econbiz.de/10008349677
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Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework
Perron, Pierre; Vodounou, Cosme - In: Journal of empirical finance 11 (2004) 2, pp. 203-230
Persistent link: https://www.econbiz.de/10007230870
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Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
Perron, Pierre; Chun, Sungju; Vodounou, Cosme - In: Journal of empirical finance 20 (2013), pp. 42-62
Persistent link: https://www.econbiz.de/10010063414