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A semiparametric conditional capital asset pricing model

Cai, Zongwu; Ren, Yu; Yang, Bingduo - In: Journal of banking & finance 61 (2015), pp. 117-126

Persistent link: https://www.econbiz.de/10011545159

Unified tests for a dynamic predictive regression

Yang, Bingduo; Liu, Xiaohui; Peng, Liang; Cai, Zongwu - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 684-699

Persistent link: https://www.econbiz.de/10012588007

A unified test for predictability of asset returns regardless of properties of predicting variables

Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang - In: Journal of econometrics 208 (2019) 1, pp. 141-159

Persistent link: https://www.econbiz.de/10012139823

Kernel estimation of financial time series

Hafner, Christian M. - In: Quantitative Verfahren im Finanzmarktbereich, (pp. 223-239). 1996

Persistent link: https://www.econbiz.de/10001319158

Nonlinear time series analysis with applications to foreign exchange rate volatility : with 29 tables

Hafner, Christian M. - 1998

Persistent link: https://www.econbiz.de/10000965598

Structural analysis of portfolio risk using beta impulse response functions

Hafner, Christian M.; Herwartz, Helmut - 1998

Persistent link: https://www.econbiz.de/10000992252

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Persistent link: https://www.econbiz.de/10000992362

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - In: Journal of empirical finance 8 (2001) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10001568288

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

Persistent link: https://www.econbiz.de/10001413478

Efficient Estimation of a Multivariate Multiplicative Volatility Model

Hafner, Christian M. - 2010

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a nonparametric long run component and a unit multivariate GARCH short run dynamic component. We suggest various kernel-based estimation procedures for the parametric and...

Persistent link: https://www.econbiz.de/10013148178