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Harvey, Campbell R.; Liu, Yan - 2016

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Nonparametric autoregression with multiplicative volatility and additive mean

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The extended switching regression model : allowing for multiple latent state variables

Preminger, Arie; Ben-Zion, Uri; Wettstein, David - In: Journal of forecasting 26 (2007) 7, pp. 457-473

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Modeling structural equations with endogenous regressors and heterogeneity through derivative constraints

Rau, Tomás - In: Quantitative economics : QE ; journal of the … 4 (2013) 1, pp. 125-148

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Tests to disentangle breaks in intercept from slope in linear regression models with application to management performance in the mutual fund industry

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Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry

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Tracking errors and their determinants : evidence from Japan-listed exchange-traded funds

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Optimizing stock market returns during global pandemic using regression in the context of Indian stock market

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-fitting techniques and shows that this model can encounter the market volatility efficiently in the context of the Indian stock market …

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A Note on Sorting Bias Correction in Regression-Based Mutual Fund Tournament Tests

Karoui, Aymen - 2019

The tournament hypothesis of Brown et al. (1996) conjectures that mutual funds with a below average performance over the first half of the year tend to increase their risk in the second half of the year. Schwarz (2012) argues that the methodologies that have been used to test this hypothesis are...

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Stepwise expanding the frontier one asset at a time

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