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Time-varying volatility and the power law distribution of stock returns
Warusawitharana, Missaka - 2016
While many studies find that the tail distribution of high frequency stock returns follow a power law, there are only a few explanations for this finding. This study presents evidence that time-varying volatility can account for the power law property of high frequency stock returns. The power...
Persistent link: https://www.econbiz.de/10011500196
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The information content of high-frequency data for estimating equity return models and forecasting risk
Dobrev, Dobrislav; Szerszen, Pawel J. - 2010
Persistent link: https://www.econbiz.de/10008655786
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Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - 2011
Persistent link: https://www.econbiz.de/10009406434
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Learning, rare disasters, and asset prices
Lu, Yang K.; Siemer, Michael - 2013
Persistent link: https://www.econbiz.de/10010432467
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Stock market fluctuations and the term structure
Zhou, Chunsheng - 1996
Persistent link: https://www.econbiz.de/10000930617
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Forecasting long- and short-horizon stock returns in a unified framework
Zhou, Chunsheng - 1996
Persistent link: https://www.econbiz.de/10000931475
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Stock prices, expected returns, and inflation
Sharpe, Steven A. - 1999
Persistent link: https://www.econbiz.de/10001355006
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The aggregate change in shares and the level of stock prices
Nelson, William R. - 1999
Persistent link: https://www.econbiz.de/10001370027
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Inter-firm relationships and asset prices
Ramírez, Carlos - 2017
Persistent link: https://www.econbiz.de/10011708232
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Uncovered interest rate, overshooting, and predictability reversal puzzles in an emerging economy
Kiliç, Rehim - 2023 - This draft: August 2023
Persistent link: https://www.econbiz.de/10014490739