Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Xinyue Bei"'
Publikováno v:
Journal of Applied Econometrics. 37:1295-1313
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::30d5ecab0c0bb67d9bfb837124eedf8d
https://doi.org/10.1002/jae.2927
https://doi.org/10.1002/jae.2927
Testing normality against discrete normal mixtures is complex because some parameters turn increasingly underidentified along alternative ways of approaching the null, others are inequality constrained, and several higher-order derivatives become ide
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3906450344d5873635fc1a52a3b93adf
https://doi.org/10.54932/uxsg1990
https://doi.org/10.54932/uxsg1990
Autor:
Xinyue Bei
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4c119271d7373cc68fe4025c89ba43c7
https://doi.org/10.2139/ssrn.3992059
https://doi.org/10.2139/ssrn.3992059
Publikováno v:
CEPR Discussion Papers; Feb2020, preceding p1-67, 68p
Publikováno v:
Theoretical Economics Letters. :748-759
In this paper, the effect of Index Futures on stock market is studied. A new model, which is based on the 3-factor model in Fama and French (1993), the EGARCH-type volatility in Nelson (1991) and non-normal distribution of SSAEPD in Zhu and Zinde-Wal
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::aada7fc1b7e83f44338983694560f29c
https://doi.org/10.4236/tel.2014.49095
https://doi.org/10.4236/tel.2014.49095