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Stylized facts of financial time series and three popular models of volatility
Malmsten, Hans (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004
Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in financial series such as stock and exchange rate returns are considered. These are the standard Generalized Autoregressive Conditional Heteroskedasticity (GARCH), the Exponential...
Persistent link: https://www.econbiz.de/10002199620
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On the excess returns to illiquidity
Novy-Marx, Robert (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002128409
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Profitable, growth, and average returns
Fama, Eugene F. (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002160648
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Financial asset returns, direction-of-change forecasting, and volatility dynamics
Christoffersen, Peter F. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002100081
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Forecasting the term structure of government bond yields
Diebold, Francis X. (contributor); Li, Canlin (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001727236
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Private benefits of control : an international comparison
Dyck, Alexander (contributor); Zingales, Luigi (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001658703
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Evaluating value weighting : corporate events and market timing
Lamont, Owen A. (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001685916
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Newly listed firms : fundamentals, survival rates, and returns
Fama, Eugene F. (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001636359
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Liquidity risk and expected stock returns
Pástor, Ľuboš (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001636396
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Short sale constraints and stock returns
Jones, Charles M. (contributor); Lamont, Owen A. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001636411