A reexamination of stock return predictability (Q5964757): Difference between revisions

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+UNIT ROOT TESTS WITH INFINITE VARIANCE ERRORS
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+Normal rank
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+Stationarity-based specification tests for diffusions when the process is nonstationary
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+No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
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+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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+Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
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+Q4855691
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+Unit Root Tests under Time-Varying Variances
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+Normal rank
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+Testing for unit roots in time series models with non-stationary volatility
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+Nonlinear IV unit root tests in panels with cross-sectional dependency.
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+Taking a new contour: a novel approach to panel unit root tests
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+Nonlinear econometric models with cointegrated and deterministically trending regressors
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+BIAS REDUCTION AND LIKELIHOOD-BASED ALMOST EXACTLY SIZED HYPOTHESIS TESTING IN PREDICTIVE REGRESSIONS USING THE RESTRICTED LIKELIHOOD
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+Nonstationary nonlinear heteroskedasticity in regression
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+Predicting the Equity Premium with Dividend Ratios
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+Q3911791
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+Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
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+Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification
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+ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
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+Nonstationary nonlinear heteroskedasticity.
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+ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED  TIME SERIES
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+Towards a unified asymptotic theory for autoregression
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+Q4663402
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+CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS  TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS
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+Recursive mean adjustment in time-series inferences
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+A Gaussian approach for continuous time models of the short-term interest rate
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