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Extreme canonical correlations and high-dimensional cointegration analysis
Onatski, Alexei; Wang, Chen - In: Journal of econometrics 212 (2019) 1, pp. 307-322
Persistent link: https://www.econbiz.de/10012303946
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Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra - 2021
Persistent link: https://www.econbiz.de/10013167436
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A new test on asset return predictability with structural breaks
Cai, Zongwu; Chang, Seong Yeon - 2022
Persistent link: https://www.econbiz.de/10012888261
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Testing conditional independence via empirical likelihood
Su, Liangjun; White, Halbert - In: Journal of econometrics 182 (2014) 1, pp. 27-44
Persistent link: https://www.econbiz.de/10010497148
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On empirical likelihood option pricing
Zhong, Xiaolong; Cao, Jie Jay; Jin, Yong; Zheng, Wei - In: Journal of risk 19 (2017) 5, pp. 41-53
Persistent link: https://www.econbiz.de/10011747102
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Unified inference for an AR process regardless of finite or infinite variance GARCH errors
Huang, Haitao; Leng, Xuan; Liu, Xiaohui; Peng, Liang - In: Journal of financial econometrics 18 (2020) 2, pp. 425-470
Persistent link: https://www.econbiz.de/10012232977
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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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Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
Zhang, Rongmao; Li, Chenxue; Peng, Liang - In: Econometric reviews 38 (2019) 2, pp. 151-169
Persistent link: https://www.econbiz.de/10012180711
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A unified test for predictability of asset returns regardless of properties of predicting variables
Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang - In: Journal of econometrics 208 (2019) 1, pp. 141-159
Persistent link: https://www.econbiz.de/10012139823
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A new test on asset return predictability with structural breaks
Cai, Zongwu; Chang, Seong Yeon - 2024
Persistent link: https://www.econbiz.de/10015338763