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Modelling the absolute returns of different stock indices : exploring the forecastability of an alternative measure of risk

Granger, C. W. J.; Sin, Chor-yiu - In: Journal of forecasting 19 (2000) 4, pp. 277-298

Persistent link: https://www.econbiz.de/10001504616

Modelling the absolute returns of different stock indices : exploring the forecastability of an alternative measure of risk

Granger, C. W. J.; Sin, Chor-yiu - 1999

Persistent link: https://www.econbiz.de/10001395202

Volatilty smile by multilevel least square

Achdou, Yves; Pironneau, Olivier - In: International journal of theoretical and applied finance 5 (2002) 6, pp. 619-643

Persistent link: https://www.econbiz.de/10001743194

Nonparametric estimation of structural change points in volatility models for time series

Chen, Gong-meng; Choi, Yoon K.; Zhou, Yong - In: Journal of econometrics 126 (2005) 1, pp. 79-114

Persistent link: https://www.econbiz.de/10002538638

Missing Variation in the Great Moderation : Lack of Signal Error and OLS Regression

Nalewaik, Jeremy - 2014

This paper studies measurement errors that subtract signal from true variables of interest, labeled lack of signal errors (LoSE). The effect on OLS regression of LoSE is opposite the conventional wisdom about classical measurement errors, with LoSE in the dependent variable, not the explanatory...

Persistent link: https://www.econbiz.de/10013055705

Missing variation in the Great Moderation : lack of signal error and OLS regression

Nalewaik, Jeremy - 2014

Persistent link: https://www.econbiz.de/10010433458

Insider trading and firm-specific return volatility

Gangopadhyay, Partha; Yook, Ken C.; Shin, Yoon S. - In: Review of quantitative finance and accounting 43 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010433502

Least squares kernel smoothing of the implied volatility smile

Fengler, Matthias R.; Wang, Qihua - In: Applied quantitative finance, (pp. 193-207). 2009

Persistent link: https://www.econbiz.de/10003746018

Testing for heteroskedastic mixture of ordinary least squares errors

Senarathne, Chamil W; Wei, Jianguo - In: Romanian journal of economic forecasting 23 (2020) 2, pp. 73-91

Persistent link: https://www.econbiz.de/10012422500

Forecasting stock prices with commodity prices : new evidence from Feasible Quasi Generalized Least Squares (FQGLS) with non-linearities

Fasanya, Ismail Olaleke; Adekoya, Oluwasegun B.; … - In: Economic systems 47 (2023) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10014317524