3 citations · 7 across the 5 of their papers we have counts for
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stat.AP2020★ 2 cited
On the correlation analysis of illiquid stocks
Hamdi Raïssi
The serial correlations of illiquid stock's price changes are studied, allowing for unconditional heteroscedasticity and time-varying zero returns probability. Depending on the set…
stat.AP2012★ 3 cited
Testing instantaneous causality in presence of non constant unconditional variance
Quentin Giai Gianetto, Hamdi Raissi
The problem of testing instantaneous causality between variables with time-varying unconditional variance is investigated. It is shown that the classical tests based on the assumpt…