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Spurious inference in reduced-rank asset-pricing models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 5, pp. 1613-1628

Persistent link: https://www.econbiz.de/10011791596

Empirical evaluation of overspecified asset pricing models

Manresa, Elena; Peñaranda, Francisco; Sentana, Enrique - In: Journal of financial economics 147 (2023) 2, pp. 338-351

Persistent link: https://www.econbiz.de/10013546675

The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing

Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583

Persistent link: https://www.econbiz.de/10012304092

GMM estimation of spatial autoregressive models with moving average disturbances

Doğan, Osman; Taşpınar, Süleyman - In: Regional science & urban economics 43 (2013) 6, pp. 903-926

Persistent link: https://www.econbiz.de/10010238016

Permanent shocks and forecasting with moving averages

Lee, Yoonsuk; Brorsen, Wade - In: Applied economics 49 (2017) 12, pp. 1213-1225

Persistent link: https://www.econbiz.de/10011811267

An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices

Buescu, Cristin; Taksar, Michael I.; Koné, Fatoumata J. - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-24

Persistent link: https://www.econbiz.de/10009784042

Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods

Fičura, Milan - 2015

We are comparing two approaches for stochastic volatility and jumps estimation in the EUR/USD time series - the non-parametric power-variation approach using high-frequency returns, and the parametric Bayesian approach (MCMC estimation of SVJD models) using daily returns. We find that both of...

Persistent link: https://www.econbiz.de/10013030080

Assessing misspecified asset pricing models with empirical likelihood estimators

Almeida, Caio; Garcia, René - In: Journal of econometrics 170 (2012) 2, pp. 519-537

Persistent link: https://www.econbiz.de/10009686763

Valid locally uniform edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations

Arvanitis, Stelios; Dēmos, Antōnēs A. - In: Journal of time series econometrics 6 (2014) 2, pp. 183-235

Persistent link: https://www.econbiz.de/10010401116

Estimating the Wishart Affine Stochastic Correlation model using the empirical characteristic function

Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 3, pp. 253-289

Persistent link: https://www.econbiz.de/10010384289