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Is the value premium a proxy for time-varying investment opportunities ? : some time-series evidence
Guo, Hui; Savickas, Robert; Wang, Zijun; Yang, Jian - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 1, pp. 133-154
Persistent link: https://www.econbiz.de/10003854572
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Testing the empirical performance of stochastic volatility models of the short-term interest rate
Bali, Turan G. - In: Journal of financial and quantitative analysis : JFQA 35 (2000) 2, pp. 191-215
Persistent link: https://www.econbiz.de/10001510057
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The stock-bond return return relation, the term structure's slope, and asset-class risk dynamics
Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 699-724
Persistent link: https://www.econbiz.de/10010487741
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Another look at models of the short-term interest rate
Brenner, Robin James - In: Journal of financial and quantitative analysis : JFQA 31 (1996) 1, pp. 85-107
Persistent link: https://www.econbiz.de/10001208194
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Real economic shocks and sovereign credit risk
Augustin, Patrick; Tédongap, Roméo - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 2, pp. 541-587
Persistent link: https://www.econbiz.de/10011577512
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A shadow rate or a quadratic policy rule? : the best way to enforce the zero lower bound in the United States
Andreasen, Martin Møller; Meldrum, Andrew - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 5, pp. 2261-2292
Persistent link: https://www.econbiz.de/10012140079
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On the relation between EGARCH idiosyncratic volatility and expected stock returns
Guo, Hui; Kassa, Haimanot; Ferguson, Michael F. - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 1, pp. 271-296
Persistent link: https://www.econbiz.de/10010408532
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Longer-term time-series volatility forecasts
Ederington, Louis H.; Guan, Wei - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 4, pp. 1055-1076
Persistent link: https://www.econbiz.de/10008758045
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Affine models of the joint dynamics of exchange rates and interest rates
Anderson, Bing; Hammond, Peter J.; Ramezani, Cyrus A. - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 5, pp. 1341-1365
Persistent link: https://www.econbiz.de/10008907330
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The term structure of variance swap rates and optimal variance swap investments
Egloff, Daniel; Leipold, Markus; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 5, pp. 1279-1310
Persistent link: https://www.econbiz.de/10008907332