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Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy
Nitschka, Thomas - In: Journal of international money and finance 83 (2018), pp. 44-54
Persistent link: https://www.econbiz.de/10012000302
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Predicting returns on asset markets of a small, open economy and the influence of global risks
Haab, David R.; Nitschka, Thomas - 2017
Persistent link: https://www.econbiz.de/10011794321
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Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben; Bollerslev, Tim - 1997
Persistent link: https://www.econbiz.de/10000627888
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Tails, fears and risk premia
Bollerslev, Tim; Todorov, Viktor - 2009
Persistent link: https://www.econbiz.de/10003849565
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Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - 2011
Persistent link: https://www.econbiz.de/10009559410
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10009559443
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10009560379
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Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - 2011
Persistent link: https://www.econbiz.de/10009406434
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The forward premium anomaly is not as bad as you think
Baillie, Richard; Bollerslev, Tim - In: Journal of international money and finance 19 (2000) 4, pp. 471-488
Persistent link: https://www.econbiz.de/10001496571
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Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - In: The journal of finance : the journal of the American … 66 (2011) 6, pp. 2165-2211
Persistent link: https://www.econbiz.de/10009514108