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Is value premium a proxy for time-varying investment opportunities : some time series evidence

Guo, Hui (contributor) - 2005

to be robust using both the realized volatility model and the GARCH model, confirm that the value premium cannot be …

Persistent link: https://www.econbiz.de/10002995301

Forecasting foreign exchange volatility : is implied volatility the best we can do?

Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001974118

The microstructure of treasury market tatonnement

Mizrach, Bruce Marshall (contributor); … - 2005 - rev.

Persistent link: https://www.econbiz.de/10003344895

Directly measuring early exercise premiums using American and European S&P 500 index options

Dueker, Michael (contributor); Miller, Thomas W. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001974075

Market timing with aggregate and idiosyncratic stock volatilities

Guo, Hui (contributor); Higbee, Jason (contributor) - 2005 - rev.

Persistent link: https://www.econbiz.de/10003344908

Size and value anomalies under regime shifts

Guidolin, Massimo (contributor); … - 2005

"This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio and portfolios tracking size--and value effects. Mean returns, volatilities and correlations between these equity portfolios are found to be driven by underlying regimes that...