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A latent factor model of European exchange rate risk premia
Alexius, Annika; Sellin, Peter - 1997
Persistent link: https://www.econbiz.de/10000958083
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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 … Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on … heteroskedasticity ; evaluation of volatility models ; exponential GARCH ; GARCH ; modelling return series ; stochastic volatility …
Persistent link: https://www.econbiz.de/10002199620
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Success factors in asset management
Engström, Stefan - 2001
Persistent link: https://www.econbiz.de/10001628153
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A new non-linear GARCH model
Hagerud, Gustaf E. - 1997
Persistent link: https://www.econbiz.de/10000958392
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Exchange rate expectations, the forward exchange rate bias and risk premia in target zones
Nessén, Marianne - 1994
Persistent link: https://www.econbiz.de/10000888951
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Essays on exchange rates and international finance
Nessén, Marianne - 1994
Persistent link: https://www.econbiz.de/10000897134
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International portofolio diversification and the foreign exchanges risk premium
Nessén, Marianne - 1994
Persistent link: https://www.econbiz.de/10000902160
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Is there evidence of pessimism and doubt in subjective distributions? : a comment on Abel
Giordani, Paolo (contributor); Söderkind, Paul (contributor) - 2002 - [Elektronische Ressource], Rev. October 1, 2003
Abel (2002) shows that pessimism and doubt in the subjective distribution of the growth rate of consumption reduce the riskfree rate puzzle and the equity premium puzzle. We quantify the amount of pessimism and doubt in survey data on US consumption and income. Individual forecasters are in fact...
Persistent link: https://www.econbiz.de/10001729353
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The association between accounting information and stock prices : model development and empirical tests based on Swedish data
Runsten, Mikael - 1998
Persistent link: https://www.econbiz.de/10000990952
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Learning the true index level : index return autocorrelation in an REE auction market
Säfvenblad, Patrik - 1997
Persistent link: https://www.econbiz.de/10000971378