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Detecting common breaks in the means of high dimensional cross-dependent panels

Archive ouverte | Horváth, Lajos | CCSD

International audience. Summary The problem of detecting change points in the mean of high dimensional panel data with potentially strong cross-sectional dependence is considered. Under the assumption that the cross...

The Fortune and Crash of Common Risk Factors in Chinese Commodity Markets

Archive ouverte | Li, Hemei | CCSD

International audience. This paper investigates the performance of nine commonly discussed market anomalies in the Chinese commodity market. By studying a data sample from 2005 to 2020, we find the common risk facto...

How to identify the different phases of stock market bubbles statistically?

Archive ouverte | Horváth, Lajos | CCSD

International audience

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