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Improving the estimation and predictions of small time series models
Liu-Evans, Gareth - In: Journal of time series econometrics 15 (2023) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10014288356
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A new method based on range to detect mean reversion
Shaik, Muneer; Maheswaran, S. - In: IIMB management review 32 (2020) 2, pp. 208-216
Persistent link: https://www.econbiz.de/10012489711
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A new test of asset return predictability with an unstable predictor
Chang, Seong Yeon - In: Economics letters 196 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012510680
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Volatility analysis with realized GARCH-Itô models
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
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Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
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Maximum likelihood estimation and inference for high dimensional nonlinear factor models
Wang, Fa - 2017
Persistent link: https://www.econbiz.de/10013369930
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Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions
Wang, Fa - In: Journal of econometrics 229 (2022) 1, pp. 180-200
Persistent link: https://www.econbiz.de/10013441851
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Overnight GARCH-Itô volatility models
Kim, Donggyu; Shin, Minseok; Wang, Yazhen - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
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Halbert White jr. Memorial JFEC Lecture : pitfalls and possibilities in predictive regression
Phillips, Peter C. B. - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 521-555
Persistent link: https://www.econbiz.de/10011339279
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Pitfalls and possibilities in predictive regression
Phillips, Peter C. B. - 2015
Persistent link: https://www.econbiz.de/10011312325