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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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Stock price jumps and cross-sectional return predictability
Jiang, George J.; Yao, Tong - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 5, pp. 1519-1544
Persistent link: https://www.econbiz.de/10010343638
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When are stocks less volatile in the long run?
Jondeau, Eric; Zhang, Qunzi; Zhu, Xiaoneng - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 4, pp. 1228-1258
Persistent link: https://www.econbiz.de/10012523330
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Long-horizon mean-reverting stock prices revisited
McQueen, Grant R. - In: Journal of financial and quantitative analysis : JFQA 27 (1992) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10001122230
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The treasury yield curve as a cointegrated system
Bradley, Michael G. - In: Journal of financial and quantitative analysis : JFQA 27 (1992) 3, pp. 449-463
Persistent link: https://www.econbiz.de/10001129735
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The poor predictive performance of asset pricing models
Simin, Timothy T. - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 2, pp. 355-380
Persistent link: https://www.econbiz.de/10003729127
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What drove the increase in idiosyncratic volatility during the Internet boom?
Fink, Jason; Fink, Kristin E.; Grullon, Gustavo; … - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 5, pp. 1253-1278
Persistent link: https://www.econbiz.de/10008907336
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Predicting glocal stock returns
Hjalmarsson, Erik - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 1, pp. 49-80
Persistent link: https://www.econbiz.de/10003984411
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Errors in implied volatility estimation
Hentschel, Ludger - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 4, pp. 779-810
Persistent link: https://www.econbiz.de/10001859254
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Forecasting volatility using long memory and comovements : an application to option valuation under SFAS 123R
Jiang, George J.; Tian, Yisong Sam - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 2, pp. 503-533
Persistent link: https://www.econbiz.de/10003990715