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Where do betas come from? : asset price dynamics and the sources of systematic risk
Campbell, John Y. - 1993
Persistent link: https://www.econbiz.de/10000860454
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Smart money, noise trading and stock price behavior
Campbell, John Y.; Kyle, Albert S. - 1988
Persistent link: https://www.econbiz.de/10000752325
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No news is good news : an asyymmetric model of changing volatility in stock returns
Campbell, John Y.; Hentschel, Ludger - 1991
Persistent link: https://www.econbiz.de/10000817377
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Why long horizons? : a study of power against persistent alternatives
Campbell, John Y. - 1993
Persistent link: https://www.econbiz.de/10000879027
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Cointegration and tests of present value models
Campbell, John Y.; Shiller, Robert J. - 1986
Persistent link: https://www.econbiz.de/10000694815
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The dividend-price ratio and expectations of future dividends and discount factors
Campbell, John Y.; Shiller, Robert J. - 1986
Persistent link: https://www.econbiz.de/10000715629
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Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
Hautsch, Nikolaus (contributor) - 2007
We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...
Persistent link: https://www.econbiz.de/10003634717
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A variance decomposition for stock returns
Campbell, John Y. - 1990
Persistent link: https://www.econbiz.de/10000784199
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A unified theory of underreaction, momentum trading and overreaction in asset markets
Hong, Harrison G.; Stein, Jeremy C. - 1997
Persistent link: https://www.econbiz.de/10000649959
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Stochastic conditional intensity processes
Bauwens, Luc; Hautsch, Nikolaus - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 450-493
Persistent link: https://www.econbiz.de/10003354109