Similar Search Results

Contrarians, extrapolators, and stock market momentum and reversal

Atmaz, Adem; Gulen, Huseyin; Cassella, Stefano; Ruan, … - In: Management science : journal of the Institute for … 70 (2024) 9, pp. 5949-5984

Persistent link: https://www.econbiz.de/10015137979

Prerequisites for modeling price and return data series for the Bucharest Stock Exchange

Tinca, Andrei - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 117-126

Persistent link: https://www.econbiz.de/10010224748

On the influence of autocorrelation and GARCH-effects on goodness-of-fit tests for copulas

Garmann, Sebastian; Grundke, Peter - In: The European journal of finance 19 (2013) 1/2, pp. 75-88

Persistent link: https://www.econbiz.de/10009733297

Finite sample of the Durbin-Watson test against fractionally integrated disturbances

Kleiber, Christian; Krämer, Walter - 2004

We consider the finite sample power of various tests against serial correlation in the disturbances of a linear regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin-Watson test...

Persistent link: https://www.econbiz.de/10010516924

Moment estimators for autocorrelated time series and their application to default correlations

Frei, Christoph; Wunsch, Marcus - In: The journal of credit risk : published quarterly by … 14 (2018) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10011885453

Drawdown measures and return moments

Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42

Persistent link: https://www.econbiz.de/10011957033

The long memory of order flow in the foreign exchange spot market

Gould, Martin; Porter, Mason A.; Howison, Sam - In: Market microstructure and liquidity 2 (2016) 1, pp. 1-40

Persistent link: https://www.econbiz.de/10011588230

Testing the weak-form efficiency of agriculture's capital markets

Ghimire, Binam; Annussek, Kolja; Harvey, Jackie; … - In: Economics and business review 2 (2016) 2, pp. 3-17

Persistent link: https://www.econbiz.de/10011535203

Statistical properties of microstructure noise

Jacod, Jean; Li, Yingying; Zheng, Xinghua - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 4, pp. 1133-1174

Persistent link: https://www.econbiz.de/10011791234

Monitoring multistage processes with autocorrelated observations

Kim, Jinho; Jeong, Myong K.; Elsayed, Elsayed A. - In: International journal of production research 55 (2017) 7/8, pp. 2385-2396

Persistent link: https://www.econbiz.de/10011648619