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A new approach to bad news effects on volatility : the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)

Curto, José Dias; Tomaz, João Amaral; Pinto, José Castro - In: Portuguese economic journal 8 (2009) 1, pp. 23-36

Persistent link: https://www.econbiz.de/10003823949

Market timing and selectivity : an empirical investigation of European mutual fund performance

Oliveira, Luís; Salen, Tomás; Curto, José Dias; … - In: International journal of economics and finance 11 (2019) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10011995106

The Halloween effect in European sectors

Carrazedo, Tiago; Curto, José Dias; Oliveira, Luís - In: Research in international business and finance 37 (2016), pp. 489-500

Persistent link: https://www.econbiz.de/10011595361

The Heteroskedasticity-Consistent Covariance Estimator in Accounting

Curto, José Dias - 2016

The main purpose of this paper is to compare the White (1980) heteroskedasticity-consistent (HC) covariance matrix estimator with alternative estimators. Many regression packages compute the White (1980) heteroskedasticity-consistent (HC) covariance matrix estimator. The common procedure in...

Persistent link: https://www.econbiz.de/10013006879