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Risk-adjusted capital allocation and misallocation

David, Joel M.; Schmid, Lukas; Zeke, David - In: Journal of financial economics 145 (2022) 3, pp. 684-705

Persistent link: https://www.econbiz.de/10013475433

Time-varying risk of nominal bonds : how important are macroeconomic shocks?

Ermolov, Andrey - In: Journal of financial economics 145 (2022) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10013473700

Macro risks and the term structure of interest rates

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of financial economics 141 (2021) 2, pp. 479-504

Persistent link: https://www.econbiz.de/10013259807

Conditional correlations in the returns on oil companies stock prices and their determinants

Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004

cointegration techniques in modelling the conditional mean, as well as multivariate GARCH models for the conditional variances. We … specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model … of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The within …

Persistent link: https://www.econbiz.de/10011603089