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Common stochastic volatility trends in international stock returns
Dao, Chi-Mai; Wolters, Jürgen - In: International review of financial analysis 17 (2008) 3, pp. 431-445
Persistent link: https://www.econbiz.de/10003764415
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Stock market bubbles, inflation and investment risk
Kaliva, Kasimir; Koskinen, Lasse - In: International review of financial analysis 17 (2008) 3, pp. 592-603
Persistent link: https://www.econbiz.de/10003764497
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The war on terror and its impact on the long-term volatility of financial markets
Fernández, Viviana - In: International review of financial analysis 17 (2008) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10003765173
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US investors and global equity markets
Lin, Anchor Y.; Swanson, Peggy Eubanks - In: International review of financial analysis 17 (2008) 1, pp. 83-107
Persistent link: https://www.econbiz.de/10003765290
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Co-movements of sector index returns in the world's major stock markets in bull and bear markets : portfolio diversification implications
Meriç, İlhan; Ratner, Mitchell; Meriç, Gülser - In: International review of financial analysis 17 (2008) 1, pp. 156-177
Persistent link: https://www.econbiz.de/10003765315
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Asymmetric risk premium in value and growth stocks
Black, Angela J.; McMillan, David G. - In: International review of financial analysis 15 (2006) 3, pp. 237-246
Persistent link: https://www.econbiz.de/10003348583
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Do option markets substitute for stock markets? Evidence from trading on anticipated tender offer announcements
Arnold, Tom; Erwin, Gayle R.; Nail, Lance; Nixon, Terry - In: International review of financial analysis 15 (2006) 3, pp. 247-255
Persistent link: https://www.econbiz.de/10003348604
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The role of the United States in the global economy and its evolution over time
Dées, Stéphane; Saint-Guilhem, Arthur - 2009
This paper aims at assessing the role of the United States in the global economy and its evolution over time. The emergence of large economic players, like China, is likely to have weakened the role of the U.S. economy as a driver of global growth. Based on a Global VAR modelling approach, this...
Persistent link: https://www.econbiz.de/10003832378
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The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics
Lemke, Wolfgang; Werner, Thomas - 2009
We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...
Persistent link: https://www.econbiz.de/10003832616