Narrow search
Showing 1 - 10 of 145,416
Cover Image
Bond variance risk premia
Mueller, Philippe; Vedolin, Andrea; Yen, Yu-min - 2012
Persistent link: https://www.econbiz.de/10009552228
Cover Image
The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom : evidence from over 150 years of data
Gupta, Rangan; Wohar, Mark E. - In: Economics and Business Letters : EBL 8 (2019) 3, pp. 138-146
Persistent link: https://www.econbiz.de/10012156567
Cover Image
High-frequency cash flow dynamics
Pettenuzzo, Davide; Sabbatucci, Riccardo; Timmermann, Allan - 2018
Persistent link: https://www.econbiz.de/10011813356
Cover Image
Examining the sources of excess return predictability : stochastic volatility or market inefficiency?
Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - 2018
Persistent link: https://www.econbiz.de/10011977460
Cover Image
Model scan of factors in U.K. stock returns
Fletcher, Jonathan; Marshall, Andrew P.; O'Connell, Michael - In: The European journal of finance 30 (2024) 13, pp. 1548-1561
Persistent link: https://www.econbiz.de/10014636579
Cover Image
Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - 2007
factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH …
Persistent link: https://www.econbiz.de/10011373825
Cover Image
Intraday stock price dependence using dynamic discrete copula distributions
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015
Persistent link: https://www.econbiz.de/10010494787
Cover Image
Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …
Persistent link: https://www.econbiz.de/10010461231
Cover Image
Conditional heteroskedasticity in the volatility of asset returns
Ding, Yashuang - 2021
Persistent link: https://www.econbiz.de/10013262866
Cover Image
Predictability of Equity Returns over Different Time Horizons : A Nonparametric Approach
Chen, Qingqing; Hong, Yongmiao - 2022
This paper aims to test whether equity returns are predictable over various horizons. We propose a reliable and powerful nonparametric test to examine the predictability of equity returns, which can be interpreted as a signal-to-noise ratio test. Our comprehensive in-sample and out-of-sample...
Persistent link: https://www.econbiz.de/10013307424