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An intertemporal CAPM with stochastic volatility
Campbell, John Y.; Giglio, Stefano; Polk, Christopher; … - 2015
Persistent link: https://www.econbiz.de/10011300980
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Growth uncertainty, generalized disappointment aversion and production-based asset pricing
Liu, Hening; Miao, Jianjun - In: Journal of monetary economics 69 (2015), pp. 70-89
Persistent link: https://www.econbiz.de/10011326683
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Variance risk, financial intermediation, and the cross-section of expected option returns
Schürhoff, Norman; Ziegler, Alexandre - 2011
Persistent link: https://www.econbiz.de/10008909466
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Time-varying idiosyncratic risk and aggregate consumption dynamics
McKay, Alisdair - In: Journal of monetary economics 88 (2017), pp. 1-14
Persistent link: https://www.econbiz.de/10011799145
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Increased correlation in bear markets : a downside risk perspektive
Campbell, Rachel - 2002
Persistent link: https://www.econbiz.de/10013423764
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The crisis in the foreign exchange market
Melvin, Michael; Taylor, Mark P. - 2009
Persistent link: https://www.econbiz.de/10003887408
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Financial regimes and uncertainty shocks
Alessandri, Piergiorgio; Mumtaz, Haroon - In: Journal of monetary economics 101 (2019), pp. 31-46
Persistent link: https://www.econbiz.de/10012264750
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From value at risk to stress testing : the extreme value approach
Longin, François M. - 1999
Persistent link: https://www.econbiz.de/10013422797
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Asset return dynamics under bad environment-good environment fundamentals
Bekaert, Geert; Engstrom, Eric - 2010
Persistent link: https://www.econbiz.de/10008807672
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Stock market volatility and learning
Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo - 2007
Persistent link: https://www.econbiz.de/10003574542