The impact of information timeliness on the predictability of stock and futures returns: An application of vector models
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Cites work
- scientific article; zbMATH DE number 4047369 (Why is no real title available?)
- scientific article; zbMATH DE number 3550005 (Why is no real title available?)
- scientific article; zbMATH DE number 3551729 (Why is no real title available?)
- scientific article; zbMATH DE number 721872 (Why is no real title available?)
- A Fast Estimation Method for the Vector Autoregressive Moving Average Model With Exogenous Variables
- Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
- Selection of the order of an autoregressive model by Akaike's information criterion
- Statistical analysis of cointegration vectors
- ‘Recursive estimation of mixed autoregressive-moving average order’
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