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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - In: The journal of finance : the journal of the American … 72 (2017) 6, pp. 2717-2758
Persistent link: https://www.econbiz.de/10012160151
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Conditioning variables and the cross section of stock returns
Ferson, Wayne E.; Harvey, Campbell R. - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1325-1360
Persistent link: https://www.econbiz.de/10001395766
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Order flow, transaction clock, and normality of asset returns
Ané, Thierry; Geman, Hélyette - In: The journal of finance : the journal of the American … 55 (2000) 5, pp. 2259-2284
Persistent link: https://www.econbiz.de/10001524433
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Good news, bad news, volatility, and betas
Braun, Phillip A. - In: The journal of finance : the journal of the American … 50 (1995) 5, pp. 1575-1603
Persistent link: https://www.econbiz.de/10001191709
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Tests of the CAPM with time-varying covariances : a multivariate GARCH approach
Ng, Lilian K. - In: The journal of finance : the journal of the American … 46 (1991) 4, pp. 1507-1521
Persistent link: https://www.econbiz.de/10001112556
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Predicting returns with managerial decision variables : is there a small-sample bias?
Baker, Malcolm; Taliaferro, Ryan; Wurgler, Jeffrey - In: The journal of finance : the journal of the American … 61 (2006) 4, pp. 1711-1730
Persistent link: https://www.econbiz.de/10003357787
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Foreign speculators and emerging equity markets
Bekaert, Geert; Harvey, Campbell R. - In: The journal of finance : the journal of the American … 55 (2000) 2, pp. 565-613
Persistent link: https://www.econbiz.de/10001497269
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Pricing options under generalized GARCH and stochastic volatility processes
Ritchken, Peter; Trevor, Rob - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 377-402
Persistent link: https://www.econbiz.de/10001355222
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Range-based estimation of stochastic volatility models
Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X. - In: The journal of finance : the journal of the American … 57 (2002) 3, pp. 1047-1091
Persistent link: https://www.econbiz.de/10001684742
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Predicting volatility in the foreign exchange market
Jorion, Philippe - In: The journal of finance : the journal of the American … 50 (1995) 2, pp. 507-528
Persistent link: https://www.econbiz.de/10001184819