Richard Luger

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Regularizing stock return covariance matrices via multiple testing of correlations Journal of Econometrics	2025-03-18	Paper
Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach Journal of Business and Economic Statistics	2025-01-20	Paper
Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances Journal of Business and Economic Statistics	2025-01-20	Paper
Markov-switching quantile autoregression: a Gibbs sampling approach Studies in Nonlinear Dynamics & Econometrics	2023-03-30	Paper
Identification-robust moment-based tests for Markov switching in autoregressive models Econometric Reviews	2022-06-08	Paper
Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects Journal of Econometrics	2021-02-09	Paper
Unfolded GARCH models Journal of Economic Dynamics and Control	2018-08-13	Paper
Exact permutation tests for non-nested non-linear regression models Journal of Econometrics	2016-04-25	Paper
Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations Computational Statistics and Data Analysis	2012-12-30	Paper
Efficient estimation of copula-GARCH models Computational Statistics and Data Analysis	2010-03-30	Paper
Median-unbiased Estimation and Exact Inference Methods for First-order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form Journal of Time Series Analysis	2007-05-29	Paper
Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity Journal of Econometrics	2003-08-07	Paper
Empirical assessment of an intertemporal option pricing model with latent variables. Journal of Econometrics	2003-08-07	Paper
A modified CUSUM test for orthogonal structural changes Economics Letters	2002-03-03	Paper

Research outcomes over time

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