Similar Search Results - EconBiz

Identification-robust moment-based tests for Markov switching in autoregressive models

Dufour, Jean-Marie; Luger, Richard - In: Econometric reviews 36 (2017) 6/9, pp. 713-727

Persistent link: https://www.econbiz.de/10011795382

Testing for GARCH effects with quasilikelihood ratios

Luger, Richard - In: Journal of risk 16 (2013/2014) 4, pp. 23-59

Persistent link: https://www.econbiz.de/10013262927

Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects

Gungor, Sermin - 2017

We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock...

Persistent link: https://www.econbiz.de/10012946690

Markov-switching quantile autoregression : a Gibbs sampling approach

Liu, Xiaochun; Luger, Richard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10011897360

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 161-175

Persistent link: https://www.econbiz.de/10011691256

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 governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock...

Persistent link: https://www.econbiz.de/10011618038

Exact inference in long-horizon predictive quantile regressions with an application to stock returns

Gungor, Sermin; Luger, Richard - In: Journal of financial econometrics 19 (2021) 4, pp. 746-788

Persistent link: https://www.econbiz.de/10012654991

Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects

Gungor, Sermin; Luger, Richard - In: Journal of econometrics 218 (2020) 2, pp. 750-770

Persistent link: https://www.econbiz.de/10012483180

Some impossibility theorems in econometrics with applications to instrumental variables, dynamic models and cointegration

Dufour, Jean-Marie - 1995

Persistent link: https://www.econbiz.de/10001513075

[Rezension von: Davidson, Russell, ..., Estimation and inference in econometrics]

Dufour, Jean-Marie - In: The Canadian journal of economics 28 (1995) 3, pp. 718-721

Persistent link: https://www.econbiz.de/10001347494

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