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Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998
Persistent link: https://www.econbiz.de/10000682409
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Stochastic seasonality and daily financial time series
Andrade, Isabel C. (contributor) - 1996
Persistent link: https://www.econbiz.de/10000563148
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Risk aversion, market segmentation, and the firm size effect : some empirical evidence
Chen, Carl R.; Lin, James Wuh - In: Advances in investment analysis and portfolio … 5 (1998), pp. 235-252
Persistent link: https://www.econbiz.de/10001404523
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Asset pricing models : implications for expected returns and portfolio selection
MacKinlay, Archie Craig; Pástor, Ľuboš - 1999
Persistent link: https://www.econbiz.de/10001408459
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The detection and estimation of long memory in stochastic volatility
Breidt, F. Jay - In: Journal of econometrics 83 (1998) 1, pp. 325-348
Persistent link: https://www.econbiz.de/10001336943
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Estimation of continuous-time models for stock returns and interest rates
Gallant, A. Ronald - In: Macroeconomic dynamics 1 (1997) 1, pp. 135-168
Persistent link: https://www.econbiz.de/10001337436
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Maximizing predictability in the stock and bond markets
Lo, Andrew W. - In: Macroeconomic dynamics 1 (1997) 1, pp. 102-134
Persistent link: https://www.econbiz.de/10001337437
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Profits and position control : a week of FX dealing
Lyons, Richard K. - In: Journal of international money and finance 17 (1998) 1, pp. 97-115
Persistent link: https://www.econbiz.de/10001338368
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Synthetic returns on NIPA assets : an international comparison
Baxter, Marianne - In: European economic review : EER 42 (1998) 6, pp. 1141-1172
Persistent link: https://www.econbiz.de/10001338475