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Testing the persistence of the forward premium : structural changes or misspecification?

Ho, Tsung-wu; Moh, Wan Shin - In: Open economies review 27 (2016) 1, pp. 119-138

Persistent link: https://www.econbiz.de/10011591715

A GARCH model for testing market efficiency

Narayan, Paresh Kumar; Liu, Ruipeng; Westerlund, Joakim - In: Journal of international financial markets, … 41 (2016), pp. 121-138

Persistent link: https://www.econbiz.de/10011475947

Market efficiency in non-renewable resource markets: evidence from stationarity tests with structural changes

Kara, Alper; Yıldırım, Dilem; Tunç, Gül Ipek - 2021

Persistent link: https://www.econbiz.de/10013550334

Market efficiency in non-renewable resource markets : evidence from stationarity tests with structural changes

Kara, Alper; Yildirim, Dilem; Tunç, Gül Ipek - In: Mineral economics : raw materials report 36 (2023) 2, pp. 279-290

Persistent link: https://www.econbiz.de/10014251404

In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time

Tayanagi, Toshikazu; Kurozumi, Eiji - In: Journal of time series econometrics 15 (2023) 2, pp. 111-149

Persistent link: https://www.econbiz.de/10014465604

A new test on asset return predictability with structural breaks

Cai, Zongwu; Chang, Seong Yeon - In: Journal of financial econometrics 22 (2024) 4, pp. 1042-1074

Persistent link: https://www.econbiz.de/10015338763

Infill asymptotic theory and applications in financial econometrics

Lui, Yiu Lim - In: Financial econometrics : theory and applications, (pp. 132-158). 2025

Persistent link: https://www.econbiz.de/10015426488

The long-run relationship between saving and investment in Greece

Dritsaki, Chaido - In: International journal of economics and finance 7 (2015) 9, pp. 178-192

Persistent link: https://www.econbiz.de/10011347278

Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation

Callot, Laurent; Kristensen, Johannes Tang - 2015

This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...

Persistent link: https://www.econbiz.de/10010532582

Automated portfolio optimization based on a new test for structural breaks

Berens, Tobias; Wied, Dominik; Ziggel, Daniel - In: Acta Universitatis Danubius / Oeconomica 10 (2014) 2, pp. 243-264

Persistent link: https://www.econbiz.de/10010401331