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Treasury yield implied volatility and real activity
Cremers, Martijn; Fleckenstein, Matthias; Gandhi, Priyank - In: Journal of financial economics 140 (2021) 2, pp. 412-435
Persistent link: https://www.econbiz.de/10012650450
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Cross-sectional forecasts of the equity premium
Polk, Christopher; Thompson, Samuel B.; Vuolteenaho, Tuomo - In: Journal of financial economics 81 (2006) 1, pp. 101-141
Persistent link: https://www.econbiz.de/10003340669
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Conditional volatility in affine term-structure models : evidence from Treasury and swap markets
Jacobs, Kris; Karoui, Lotfi - In: Journal of financial economics 91 (2009) 3, pp. 288-318
Persistent link: https://www.econbiz.de/10003833577
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Multi-period corporate default prediction with stochastic covariates
Duffie, Darrell; Saita, Leandro; Wang, Ke - In: Journal of financial economics 83 (2007) 3, pp. 635-665
Persistent link: https://www.econbiz.de/10003439375
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The "out-of-sample" performance of long run risk models
Ferson, Wayne E.; Nallareddy, Suresh; Xie, Biqin - In: Journal of financial economics 107 (2013) 3, pp. 537-556
Persistent link: https://www.econbiz.de/10009730611
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Short-term interest rate dynamics : a spatial approach
Bandi, Federico M. - In: Journal of financial economics 65 (2002) 1, pp. 73-110
Persistent link: https://www.econbiz.de/10001690103
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The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun - In: Journal of financial economics 63 (2002) 1, pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
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On the relationship between the conditional mean and volatility of stock returns : a latent VAR approach
Brandt, Michael W.; Kang, Qiang - In: Journal of financial economics 72 (2004) 2, pp. 217-257
Persistent link: https://www.econbiz.de/10002033561
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Book-to-market, dividend yield, and expected market returns : a time-series analysis
Kothari, S. P. - In: Journal of financial economics 44 (1997) 2, pp. 169-203
Persistent link: https://www.econbiz.de/10001222165
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No news is good news : an asymmetric model of changing volatility in stock returns
Campbell, John Y. - In: Journal of financial economics 31 (1992) 3, pp. 281-318
Persistent link: https://www.econbiz.de/10001131966