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Structural stability tests with unknown breakpoint for the efficient method of moments with application to stochastic volatility models
Sluis, Pieter J. van der - 1998
Tests for structural stability with unknown breakpoint are derived for and applied tothe efficient method of moments. Three types of tests are discerned: Wald type tests,Predictive tests and Hansen type tests. The Hansen type test for structural stabilitywith unknown breakpoint is a novelty for...
Persistent link: https://www.econbiz.de/10011284082
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An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence
Marquering, Wessel A.; Verbeek, Marno - In: Journal of empirical finance 6 (1999) 3, pp. 243-265
Persistent link: https://www.econbiz.de/10001426363
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An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence
Marquering, Wessel A.; Verbeek, Marno - 1998
Persistent link: https://www.econbiz.de/10000674756
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On the use of multifactor models to evaluate mutual fund performance
Huij, Joop; Verbeek, Marno - In: Financial management 38 (2009) 1, pp. 75-102
Persistent link: https://www.econbiz.de/10003851324
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Statistical inference on stochastic dominance efficiency : do omitted risk factors explain the size and book-to-market effects?
Post, Thierry (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001765957
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COMMENT Risk aversion and skewness preference
Post, Thierry (contributor); Vliet, Pim van (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001772018
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Asset prices and omitted moments : a stochastic dominance analysis of market efficiency
Post, Thierry (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001774061
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Do global risk factors matter for international cost of capital computations?
Koedijk, Kees (contributor); Dijk, Mathijs van (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001710046
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Relative distress and return distribution characteristics of Japanese stock : a fuzzy-probabilistic approach
Bergh, Willem M. van den (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001658748
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Downside risk and asset pricing
Post, Thierry (contributor); Vliet, Pim van (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002188466