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Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property
Chen, Sonnan; Gu, Yuchi - In: Review of quantitative finance and accounting 56 (2021) 4, pp. 1357-1397
Persistent link: https://www.econbiz.de/10012549807
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Investor sentiment and the cross-section of stock returns : new theory and evidence
Ding, Wenjie; Mazouz, Khelifa; Wang, Qingwei - In: Review of quantitative finance and accounting 53 (2019) 2, pp. 493-525
Persistent link: https://www.econbiz.de/10012225936
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Predictable asset price dynamics, risk-return tradeoff, and investor behavior
Kilic, Osman; Marks, Joseph M.; Nam, Kiseok - In: Review of quantitative finance and accounting 59 (2022) 2, pp. 749-791
Persistent link: https://www.econbiz.de/10013459315
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The role of investor attention in idiosyncratic volatility puzzle and new results
Hur, Jungshik; Vivek Singh - In: Review of quantitative finance and accounting 58 (2022) 1, pp. 409-434
Persistent link: https://www.econbiz.de/10012796173
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Foreign exchange option pricing in the currency cycle with jump risks
Lin, Chien-Hsiu; Lin, Shih-kuei; Wu, An-Chi - In: Review of quantitative finance and accounting 44 (2015) 4, pp. 755-789
Persistent link: https://www.econbiz.de/10011333144
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Estimating volatility clustering and variance risk premium effects on bank default indicators
Kenç, Turalay; Cevik, Emrah Ismail - In: Review of quantitative finance and accounting 57 (2021) 4, pp. 1373-1392
Persistent link: https://www.econbiz.de/10012660703
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The 52-week high, momentum, and predicting mutual fund returns
Sapp, Travis R. A. - In: Review of quantitative finance and accounting 37 (2011) 2, pp. 149-179
Persistent link: https://www.econbiz.de/10009271479
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Do dividend initiations signal a reduction in risk? : evidence from the option market
Jones, Jeffrey S.; Gu, Jenny; Liu, Pu - In: Review of quantitative finance and accounting 42 (2014) 1, pp. 143-158
Persistent link: https://www.econbiz.de/10010345141
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Assessing models of individual equity option prices
Bakshi, Gurdip S.; Cao, Charles Q.; Zhong, Zhaodong - In: Review of quantitative finance and accounting 57 (2021) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012549885
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A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis
Cao, Ruanmin; Horváth, Lajos; Liu, Zhenya; Zhao, Yuqian - In: Review of quantitative finance and accounting 54 (2020) 1, pp. 335-358
Persistent link: https://www.econbiz.de/10012232846