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15 Bootstrap based tests in financial models
16 references·1 citing·46 second hop
15 Bootstrap based tests in financial models (1996)15 Bootstrap based tests in financial mod…Small-sample Confidence Intervals for Impulse Response Functions (1998)Small-sample Confidence Inter…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyThe significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach (1993)The significance of technical…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Predictable Stock Returns: The Role of Small Sample Bias (1993)Predictable Stock Returns: Th…Nonlinear Dynamic Structures (1993)Nonlinear Dynamic StructuresSimple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Dividend yields and expected stock returns (1988)Dividend yields and expected …Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Testing nonlinear forecastability in time series: Theory and evidence from the EMS (1998)Testing nonlinear forecastabi…Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)A test for independence based on the correlation dimension (1996)Are Investors Reluctant to Realize Their Losses? (1998)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)A five-factor asset pricing model (2014)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)Expected stock returns and volatility (1987)Business conditions and expected returns on stocks and bonds (1989)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Forecasting Economic Time Series (2000)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Combining forecasts: A review and annotated bibliography (1989)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1994Comparing Predictive Accuracy5,578 cited
  • 1995Comparing Predictive Accuracy5,370 cited
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,985 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,311 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 1998Small-sample Confidence Intervals for Impulse Response Functions919 cited
  • 1993Predictable Stock Returns: The Role of Small Sample Bias651 cited
  • 1993The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach

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472 cited
  • 1993Nonlinear Dynamic Structures437 cited
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    • 1998Testing nonlinear forecastability in time series: Theory and evidence from the EMS26 cited