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Predictable patterns after large stock price changes on the Tokyo Stock Exchange
Bremer, Marc - In: Journal of financial and quantitative analysis : JFQA 32 (1997) 3, pp. 345-365
Persistent link: https://www.econbiz.de/10001230900
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On estimating the expected rate of return in diffusion price models with application to estimating the expected return on the market
Goldenberg, David Harold - In: Journal of financial and quantitative analysis : JFQA 31 (1996) 4, pp. 605-631
Persistent link: https://www.econbiz.de/10001219186
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Risk and return in high-frequency trading
Baron, Matthew; Brogaard, Jonathan; Hagströmer, Björn; … - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 3, pp. 993-1024
Persistent link: https://www.econbiz.de/10012139381
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The dynamics of stock index and stock index futures returns
Stoll, Hans R. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 4, pp. 441-468
Persistent link: https://www.econbiz.de/10001098664
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Measuring true stock index value in the presence of infrequent trading
Jokivuolle, Esa - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 3, pp. 455-464
Persistent link: https://www.econbiz.de/10001217159
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Identifying the effect of stock indexing : impetus or impediment to arbitrage and price discovery?
Ahn, Byung Hyun; Patatoukas, Panos N. - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 5, pp. 2022-2062
Persistent link: https://www.econbiz.de/10013367056
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Analyst disagreement and aggregate volatility risk
Barinov, Alexander - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 6, pp. 1877-1900
Persistent link: https://www.econbiz.de/10010388244
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The pricing of volatility and jump risks in the cross-section of index option returns
Hu, Guanglian; Liu, Yuguo - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 6, pp. 2385-2411
Persistent link: https://www.econbiz.de/10013367097
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Stock returns, implied volatility innovations, and the asymmetric volatility phenomenon
Dennis, Patrick; Mayhew, Stewart; Stivers, Christopher T. - In: Journal of financial and quantitative analysis : JFQA 41 (2006) 2, pp. 381-406
Persistent link: https://www.econbiz.de/10003331899
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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