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Modelling economic high-frequency time series with STAR-STGARCH models

Lundbergh, Stefan; Teräsvirta, Timo - 1998

Persistent link: https://www.econbiz.de/10000168182

Stock returns and conditional volatility : an empirical investigation of the Swedish stock market

Hansson, Björn A.; Hördahl, Peter - 1994 - Preliminary version

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Semiparametric estimation and prediction for time series cross sectional data

Bunke, Olaf - 1998

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Long-term dependence in stock returns

Barkoulas, John T. - In: Economics letters 53 (1996) 3, pp. 253-259

Persistent link: https://www.econbiz.de/10001216270

Estimating the density tail index for financial time series

Kearns, Phillip - In: The review of economics and statistics 79 (1997) 2, pp. 171-175

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Why long horizons? : A study of power against persistent alternatives

Campbell, John Y. - In: Journal of empirical finance 8 (2001) 5, pp. 459-491

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Why long horizons? : a study of power against persistent alternatives

Campbell, John Y. - 1993

Persistent link: https://www.econbiz.de/10000879027

Detecting multi-fractal properties in asset returns : the failure of the "scaling estimator"

Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]

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Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis

Brooks, Robert; Maharaj, Elizabeth Ann; Pellegrini, Breanna - In: Applied financial economics letters 4 (2008) 1/3, pp. 41-44

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Estimating Turkish stock market returns with APT model : cointegration and vector error correction

Alp, Ozge Sezgin; Gökgöz, Fazıl; Küçükkocaoğlu, … - In: Economic review : journal of economics & business 14 (2016) 1, pp. 7-19

Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to macroeconomic factors. There are limited researches...

Persistent link: https://www.econbiz.de/10012012458