Similar Search Results

A latent factor model of European exchange rate risk premia

Alexius, Annika; Sellin, Peter - 1997

Persistent link: https://www.econbiz.de/10000958083

Proxying for expected returns with price earnings ratios

Strunk Hansen, Charlotte (contributor); … - 2004 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10002491493

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

Success factors in asset management

Engström, Stefan - 2001

Persistent link: https://www.econbiz.de/10001628153

A new non-linear GARCH model

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000958392

Exchange rate expectations, the forward exchange rate bias and risk premia in target zones

Nessén, Marianne - 1994

Persistent link: https://www.econbiz.de/10000888951

Essays on exchange rates and international finance

Nessén, Marianne - 1994

Persistent link: https://www.econbiz.de/10000897134

International portofolio diversification and the foreign exchanges risk premium

Nessén, Marianne - 1994

Persistent link: https://www.econbiz.de/10000902160

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

The comovement of US and UK stock markets

Engsted, Tom (contributor); Tanggaard, Carsten (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001660129