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Systematic risk and the cross section of hedge fund returns

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 106 (2012) 1, pp. 114-131

Persistent link: https://www.econbiz.de/10009666668

Conditional leptokurtosis and non-linear dependence in exchange rate returns

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The conditional beta and the cross-section of expected returns

Bali, Turan G.; Cakici, Nusret; Tang, Yi - In: Financial management 38 (2009) 1, pp. 103-137

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A conditional extreme value volatility estimator based on high-frequency returns

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Long memory and volatility dynamics in the US dollar exchange rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...