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Origins of mutual fund skill : market versus accounting based asset pricing anomalies
Christiansen, Charlotte; Xing, Ran; Xu, Yue - 2020 - This version: December 3, 2020
Persistent link: https://www.econbiz.de/10012433903
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Does realized skewness predict the cross-section of equity returns?
Amaya, Diego; Christoffersen, Peter F.; Jacobs, Kris; … - 2013
Persistent link: https://www.econbiz.de/10010226861
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Oil volatility risk and expected stock returns
Christoffersen, Peter F.; Pan, Xuhui - 2015
Persistent link: https://www.econbiz.de/10010499508
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Do realized skewness and kurtosis predict the cross-section of equity returns?
Amaya, Diego (contributor) - 2011
Persistent link: https://www.econbiz.de/10009385117
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Roughing up beta : continuous vs. discontinuous betas, and the cross-section of expected stock returns
Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor - 2014
Persistent link: https://www.econbiz.de/10010442477
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Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano; Violante, Francesco - 2021
Persistent link: https://www.econbiz.de/10012620745
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Betting on mean reversion in the VIX? : evidence from ETP flows
Nielsen, Ole Linnemann; Posselt, Anders Merrild - 2022 - This version: September 1, 2021
Persistent link: https://www.econbiz.de/10012816394
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Risk-return trade-off for European stock markets
Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - 2013
Persistent link: https://www.econbiz.de/10010190893
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Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller - 2019
Persistent link: https://www.econbiz.de/10012063989
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The dynamics of factor loadings in the cross-section of returns
Borghi, Riccardo; Hillebrand, Eric; Mikkelsen, Jakob … - 2018
Persistent link: https://www.econbiz.de/10011965291