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Conditional leptokurtosis and non-linear dependence in exchange rate returns
Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - 1994
Persistent link: https://www.econbiz.de/10000897287
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Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben; Bollerslev, Tim - 1997
Persistent link: https://www.econbiz.de/10000627888
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Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns
Andersen, Torben; Bollerslev, Tim - 1996
Persistent link: https://www.econbiz.de/10000603372
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A theory of overconfidence, self-attribution, and security market under- and over-reactions
Daniel, Kent; Hirshleifer, David; Subrahmanyam, Avanidhar - 1997
Persistent link: https://www.econbiz.de/10000958854
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Interest and exchange rate risk and stock returns : a multivariate Garch-M modelling approach
Beirne, John (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003641941
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Equity market volatility and expected risk premium
Chen, Long (contributor); Guo, Hui (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003739618
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Expected returns, yield spreads, and asset pricing tests
Campello, Murillo; Chen, Long; Zhang, Lu - In: The review of financial studies 21 (2008) 3, pp. 1297-1338
Persistent link: https://www.econbiz.de/10003742247
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Realized volatility
Andersen, Torben (contributor); Benzoni, Luca (contributor) - 2008
Persistent link: https://www.econbiz.de/10003786282
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Feedback and the success of irrational investors
Hirshleifer, David; Subrahmanyam, Avanidhar; Titman, … - In: Journal of financial economics 81 (2006) 2, pp. 311-338
Persistent link: https://www.econbiz.de/10003353929
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Realized volatility
Andersen, Torben; Benzoni, Luca - In: Handbook of financial time series, (pp. 555-575). 2009
Persistent link: https://www.econbiz.de/10003834180