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Measuring tail thickness under GARCH and an application to extreme exchange rate changes
Wagner, Niklas F.; Marsh, Terry Alan - In: Journal of empirical finance 12 (2005) 1, pp. 165-185
Persistent link: https://www.econbiz.de/10002644047
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Tail index estimation in small samples : simulation results for independent and ARCH-type financial return models
Wagner, Niklas F.; Marsh, Terry Alan - In: Statistical papers 45 (2004) 4, pp. 545-561
Persistent link: https://www.econbiz.de/10002228146
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Surprise volume and heteroskedasticity in equity market returns
Wagner, Niklas F.; Marsh, Terry Alan - 2004 - Version: September 2004
Heterosedasticity in returns may be explainable by trading volume. We use different volume variables, including surprise volume - i.e. unexpected above-avergae trading activity - which is derived from uncorrelated volume innovations. Assuming eakly exogenous volume, we extend the Lamoureux and...
Persistent link: https://www.econbiz.de/10009243804
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Term structure of interest rates and the pricing of fixed income claims and bonds
Marsh, Terry Alan - 1994 - Rev
Persistent link: https://www.econbiz.de/10000878739
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Asset pricing model specification and the term structure evidence
Marsh, Terry Alan - 1985
Persistent link: https://www.econbiz.de/10000684448
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On non-linear serial dependencies in stock returns
Marsh, Terry Alan
Persistent link: https://www.econbiz.de/10001265917
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Term structure of interest rates and the pricing of fixed income claims and bonds
Marsh, Terry Alan - In: Finance, (pp. 273-314). 1995
Persistent link: https://www.econbiz.de/10001318010
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The pricing of Japanese equity warrants
Kuwahara, Hiroto - In: Management science : journal of the Institute for … 38 (1992) 11, pp. 1610-1641
Persistent link: https://www.econbiz.de/10001135942
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Trading activity and price behavior in the stock and stock index futures markets in october 1987
Gammill, James F. - In: The journal of economic perspectives : EP ; a journal … 2 (1988) 3, pp. 25-44
Persistent link: https://www.econbiz.de/10001065163
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Dividend variability and variance bounds tests for the rationality of stock market prices
Marsh, Terry Alan - In: The American economic review 76 (1986) 3, pp. 483-498
Persistent link: https://www.econbiz.de/10001009882