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1
Risk price variation : the missing half of empirical asset pricing
Patton, Andrew J.
;
Weller, Brian M.
- In:
The review of financial studies
35
(
2022
)
11
,
pp. 5127-5184
Persistent link: https://www.econbiz.de/10013400158
Saved in:
2
Reactive global minimum variance portfolios with k-BAHC covariance cleaning
Bongiorno, Christian
;
Challet, Damien
- In:
The European journal of finance
28
(
2022
)
13/15
,
pp. 1344-1360
Persistent link: https://www.econbiz.de/10013532213
Saved in:
3
Singular diffusions, constant elasticity of variance processes and logarithmic rates of return
Liu, Siqi
;
Melia, Adrian
;
Song, Xiaojing
;
Tippett, Mark
- In:
The European journal of finance
26
(
2020
)
9
,
pp. 837-853
Persistent link: https://www.econbiz.de/10012207313
Saved in:
4
Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model
Bodnar, Taras
;
Gupta, Arjun K.
- In:
The European journal of finance
21
(
2015
)
13/15
,
pp. 1176-1194
Persistent link: https://www.econbiz.de/10011419827
Saved in:
5
Modeling covariance risk in Merton's ICAPM
Rossi, Alberto
;
Timmermann, Allan
- In:
The review of financial studies
28
(
2015
)
5
,
pp. 1428-1461
Persistent link: https://www.econbiz.de/10011338198
Saved in:
6
The skew risk premium in the equity index market
Kozhan, Roman
;
Neuberger, Anthony
;
Schneider, Paul
- In:
The review of financial studies
26
(
2013
)
9
,
pp. 2174-2203
Persistent link: https://www.econbiz.de/10010207278
Saved in:
7
Capturing option anomalies with a variance-dependent pricing Kernel
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
- In:
The review of financial studies
26
(
2013
)
8
,
pp. 1962-2006
Persistent link: https://www.econbiz.de/10010207293
Saved in:
8
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
Bonato, M.
;
Caporin, Massimiliano
;
Ranaldo, Angelo
- In:
The European journal of finance
18
(
2012
)
9/10
,
pp. 761-774
Persistent link: https://www.econbiz.de/10009691781
Saved in:
9
Implications of market microstructure for realized variance measurement
Djupsjöbacka, Daniel
- In:
The European journal of finance
16
(
2010
)
1/2
,
pp. 27-43
Persistent link: https://www.econbiz.de/10003954407
Saved in:
10
Variance risk-premium dynamics : the role of jumps
Todorov, Viktor
- In:
The review of financial studies
23
(
2010
)
1
,
pp. 345-383
Persistent link: https://www.econbiz.de/10003941654
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