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New methods for testing, prediction, and estimation with applications to finance
Hediger, Simon - 2023
Persistent link: https://www.econbiz.de/10014282051
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Investment styles and the multiple testing of cross-sectional stock return predictability
Vincent, Kendro; Hsu, Yu-Chin; Lin, Hsiou-Wei - In: Journal of financial markets 56 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013282501
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What derives the bond portfolio value-at-risk : information roles of macroeconomic and financial stress factors
Tu, Anthony H.; Chen, Cathy Yi-Hsuan - 2016
This paper first develops a new approach, which is based on the Nelson-Siegel term structure factor-augmented model, to compute the VaR of bond portfolios. We then applied the model to examine whether information contained on macroeconomic variables and financial shocks can help to explain the...
Persistent link: https://www.econbiz.de/10011437907
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Time-invariance coefficients tests with the adaptive multi-factor model
Zhu, Liao; Jarrow, Robert A.; Wells, Martin T. - In: The quarterly journal of finance 11 (2021) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10013170764
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Tests for forecast encompassing when forecasts depend on estimated regression parameters
West, Kenneth D. - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 1, pp. 29-33
Persistent link: https://www.econbiz.de/10001543433
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Tests for forecast encompassing when forecasts depend on estimated regression parameters
West, Kenneth D. - 1999
Persistent link: https://www.econbiz.de/10001408167
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Is the time-varying parameter model the preferred approach to tourism demand forecasting? : statistical evidence
Shen, Shujie; Li, Gang; Song, Haiyan - In: Advances in tourism economics : new developments, (pp. 107-120). 2009
Persistent link: https://www.econbiz.de/10003943728
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Verbesserung der Vergleichbarkeit von Schätzgüteergebnissen von Insolvenzprognosestudien
Bemmann, Martin (contributor) - 2005
Persistent link: https://www.econbiz.de/10003079808
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Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Gungor, Sermin; Luger, Richard - 2017
We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process … simulation study and by examining the ability of a group of financial variables to predict excess stock returns. We find robust …
Persistent link: https://www.econbiz.de/10011618038