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The spline-GARCH model for low-frequency volatility and its global macroeconomic causes
Engle, Robert F.; Rangel, Jose Gonzalo - In: The review of financial studies 21 (2008) 3, pp. 1187-1222
Persistent link: https://www.econbiz.de/10003742225
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Financial market shocks and the macroeconomy
Subrahmanyam, Avanidhar; Titman, Sheridan - In: The review of financial studies 26 (2013) 11, pp. 2687-2717
Persistent link: https://www.econbiz.de/10010225970
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Do bulls and bears moe across borders? : International transmission of stock returns and volatility
Lin, Wen-ling Tsai - In: The review of financial studies 7 (1994) 3, pp. 507-538
Persistent link: https://www.econbiz.de/10001169082
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The Conditional CAPM Explains the Value Premium
Bali, Turan G. - 2014
This paper proposes alternative specifications of the conditional CAPM with dynamic conditional beta and tests the models' performance in explaining the value premium for the period 1963-2011. The conditional alphas on the value-minus-growth portfolio are estimated to be economically and...
Persistent link: https://www.econbiz.de/10013065048