Narrow search
Showing 1 - 10 of 187,409
Cover Image
Tests of international CAPM with time-varying covariances
Engel, Charles; Rodrigues, Anthony P. - 1987
Persistent link: https://www.econbiz.de/10000724460
Cover Image
Flat-top realized kernel estimation of quadratic covariation with non-synchronous and noisy asset prices
Varneskov, Rasmus Tangsgaard - 2011
Persistent link: https://www.econbiz.de/10009308207
Cover Image
Power enhancement in high-dimensional cross-sectional tests
Fan, Jianqing; Liao, Yuan; Yao, Jiawei - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 4, pp. 1497-1541
Persistent link: https://www.econbiz.de/10011405086
Cover Image
Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …
Persistent link: https://www.econbiz.de/10010411945
Cover Image
Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …
Persistent link: https://www.econbiz.de/10010412428
Cover Image
A nonparametric approach to measuring the sensitivity of an asset’s return to the market
Severini, Thomas A. - In: Annals of finance 12 (2016) 2, pp. 179-199
Persistent link: https://www.econbiz.de/10011555692
Cover Image
Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances
Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10011691256
Cover Image
Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation
Ni, Xuanming; Qian, Long; Zhao, Huimin; Liu, Jia - In: International review of financial analysis 76 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10012805046
Cover Image
Exponent of cross-sectional dependence for residuals
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018
findings. Finally, we undertake an empirical investigation of α for the errors of the CAPM model and its Fama-French extensions …
Persistent link: https://www.econbiz.de/10011900761
Cover Image
Exponent of cross-sectional dependence for residuals
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018
Persistent link: https://www.econbiz.de/10012583496