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Nonparametric testing for anomaly effects in empirical asset pricing models
Jin, Sainan; Su, Liangjun; Zhang, Yonghui - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 9-36
Persistent link: https://www.econbiz.de/10011285985
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Long-horizon yield curve projections : comparison of semi-parametric and parametric approaches
Nyholm, Ken; Rebonato, Riccardo - In: Applied financial economics 18 (2008) 18/21, pp. 1597-1611
Persistent link: https://www.econbiz.de/10003800185
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Does idiosyncratic risk matter? : evidence from European stock markets
Angelidis, Timotheos; Tessaromatis, Nikolaos P. - In: Applied financial economics 18 (2008) 1/3, pp. 125-137
Persistent link: https://www.econbiz.de/10003739011
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Seasonal Mackey-Glass-GARCH process and short-term dynamics
Kyrtsou, Catherine; Terraza, Michel - In: Empirical economics : a journal of the Institute for … 38 (2010) 2, pp. 325-345
Persistent link: https://www.econbiz.de/10003943201
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Long range dependence in Stock market returns
Christodoulou-Volos, Christos; Siokis, Fotios M. - In: Applied financial economics 16 (2006) 18, pp. 1331-1338
Persistent link: https://www.econbiz.de/10003397226
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The effect of oil price changes on the price of Russian and Chinese oil shares
Hall, Stephen G.; Kenjegaliev, Amangeldi - In: Empirical economics : a journal of the Institute for … 53 (2017) 4, pp. 1639-1656
Persistent link: https://www.econbiz.de/10012019415
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The financial structure of nonlisted firms
Hol, Suzan; Wijst, Nico van der - In: Applied financial economics 18 (2008) 7/9, pp. 559-568
Persistent link: https://www.econbiz.de/10003739220
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Time-variation in the value premium and the CAPM : evidence from European markets
Spyrou, Spyros I.; Kassimatis, Konstantinos - In: Applied financial economics 19 (2009) 22/24, pp. 1899-1914
Many previous studies document a robust premium for value versus growth stocks in international markets. We show that this premium is driven by few years where High Minus Low (HML) returns are high and significant. For instance, for 12 European markets the HML return is statistically...
Persistent link: https://www.econbiz.de/10003921102
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Modeling different kinds of spatial dependence in stock returns
Arnold, Matthias; Stahlberg, Sebastian; Wied, Dominik - In: Empirical economics : a journal of the Institute for … 44 (2013) 2, pp. 761-774
Persistent link: https://www.econbiz.de/10009724088
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The impact of mandatory IFRS adoption on the earnings–returns relation
Kang, Wensheng - In: Applied financial economics 23 (2013) 13/15, pp. 1137-1143
Persistent link: https://www.econbiz.de/10010204795