Narrow search
Showing 1 - 10 of 157
Cover Image
Estimation of leverage effect : kernel function and efficiency
Yang, Xiye - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 939-956
Persistent link: https://www.econbiz.de/10014448463
Cover Image
Profitability of short-term contrarian strategies : implications for market efficiency
Conrad, Jennifer S. - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 3, pp. 379-386
Persistent link: https://www.econbiz.de/10001222707
Cover Image
Consistent significance testing for nonparametric regression
Racine, Jeffrey - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 3, pp. 369-376
Persistent link: https://www.econbiz.de/10001222709
Cover Image
Idiosyncratic volatility, stock market volatility, and expected stock returns
Guo, Hui; Savickas, Robert - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 1, pp. 43-56
Persistent link: https://www.econbiz.de/10003279769
Cover Image
Realized variance and market microstructure noise
Hansen, Peter Reinhard; Lunde, Asger - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 2, pp. 127-161
Persistent link: https://www.econbiz.de/10003317169
Cover Image
Assessing market microstructure effects via realized volatility measures with an application to the Dow Jones Industrial Average stocks
Awartani, Basel; Corradi, Valentina; Distaso, Walter - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 251-265
Persistent link: https://www.econbiz.de/10003885789
Cover Image
Forecasting the volatility of Australian stock returns : do common factors help?
Anderson, Heather M.; Vahid, Farshid - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 1, pp. 76-90
Persistent link: https://www.econbiz.de/10003410168
Cover Image
Macroeconomic volatility, predictability, and uncertainty in the great moderation : evidence from the survey of professional forecasters
Campbell, Sean D. - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 2, pp. 191-200
Persistent link: https://www.econbiz.de/10003463635
Cover Image
Volatility components, affine restrictions, and nonnormal innovations
Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 483-502
Persistent link: https://www.econbiz.de/10008736151
Cover Image
Derivative pricing with wishart multivariate stochastic volatility
Gouriéroux, Christian; Sufana, Razvan - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 438-451
Persistent link: https://www.econbiz.de/10008736163