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CME iceberg order detection and prediction
Zotikov, Dmitry; Antonov, Anton - In: Quantitative finance 21 (2021) 11, pp. 1977-1992
Persistent link: https://www.econbiz.de/10012696802
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Stock market forecastability and volatility : a statistical appraisal
Mankiw, Nicholas Gregory - In: The review of economic studies 58 (1991) 4, pp. 455-477
Persistent link: https://www.econbiz.de/10001114332
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Tests for parameter instability in regressions with I(1) processes
Hansen, Bruce E. - In: Journal of business & economic statistics : JBES ; a … 10 (1992) 3, pp. 321-335
Persistent link: https://www.econbiz.de/10001126533
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Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis
Zivot, Eric - In: Journal of business & economic statistics : JBES ; a … 10 (1992) 3, pp. 251-270
Persistent link: https://www.econbiz.de/10001126539
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A performance interpretation of multivariate tests of asset set intersection, spanning, and mean-variance efficiency
Jobson, J. D. - In: Journal of financial and quantitative analysis : JFQA 24 (1989) 2, pp. 185-204
Persistent link: https://www.econbiz.de/10001067239
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On the mathematical foundations of political economy
Chichilnisky, Graciela - In: Asian journal of economics and social studies 11 (1992) 3, pp. 167-172
Persistent link: https://www.econbiz.de/10001160680
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An empirical examination of the deterministic component in stock price volatility
Gu, Mu - In: Journal of economic behavior & organization : JEBO 22 (1993) 2, pp. 239-252
Persistent link: https://www.econbiz.de/10001151056
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Examining the sensitivity of the standardized cumulative prediction error as an event study test statistic
Glascock, John Leslie (contributor) - In: Journal of economics & business 43 (1991) 1, pp. 49-57
Persistent link: https://www.econbiz.de/10001102253
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A specification test of a market model of stock returns
Woo, Chi-keung - In: Advances in quantitative analysis of finance and … 4 (1996), pp. 187-194
Persistent link: https://www.econbiz.de/10001202929
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A stochastic variance frontier model of volatility of stock market returns
Sengupta, Jati K. - In: Journal of quantitative economics : official journal of … 11 (1995) 2, pp. 13-31
Persistent link: https://www.econbiz.de/10001208326