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ARCH model
Börsenkurs
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26
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24
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20
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20
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18
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17
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17
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17
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16
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16
Bauwens, Luc
15
Brooks, Robert
15
Floros, Christos
15
Hafner, Christian M.
15
Wang, Yudong
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Allen, David E.
14
Koopman, Siem Jan
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Rodriguez, Gabriel
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Xuan Vinh Vo
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12
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11
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11
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Finance research letters
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International review of financial analysis
89
Energy economics
88
International review of economics & finance : IREF
83
Research in international business and finance
80
Applied economics
76
The North American journal of economics and finance : a journal of financial economics studies
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Journal of empirical finance
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Journal of international financial markets, institutions & money
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52
Journal of banking & finance
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Applied financial economics
44
The European journal of finance
43
Applied economics letters
41
International journal of forecasting
40
Journal of econometrics
40
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37
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
36
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
30
Economics letters
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International Journal of Energy Economics and Policy : IJEEP
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International journal of finance & economics : IJFE
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Pacific-Basin finance journal
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Cogent economics & finance
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International journal of economics and finance
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Department of Economics working paper series
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International Journal of Financial Studies : open access journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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The journal of futures markets
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Afro-Asian Journal of Finance and Accounting : AAJFA
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ECONIS (ZBW)
4,308
RePEc
1
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1
Multivariate time-varying parameter modelling for stock markets
Neslihanoglu, Serdar
;
Bekiros, Stelios
;
McColl, John H.
; …
- In:
Empirical economics : a quarterly journal of the …
61
(
2021
)
2
,
pp. 947-972
Persistent link: https://www.econbiz.de/10012616913
Saved in:
2
Realized volatility, jump and beta : evidence from Canadian stock market
Gajurel, Dinesh
;
Chowdhury, Biplob
- In:
Applied economics
53
(
2021
)
55
,
pp. 6376-6397
Persistent link: https://www.econbiz.de/10012697913
Saved in:
3
Time-Varying Behavior of Stock Prices, Volatility Dynamics and Beta Risk in Industry Sector Indices of the Shanghai Stock Exchange
Koutmos, Dimitrios
-
2014
This paper examines time-varying stock price and volatility dynamics of constituent industry sector indices in the Shanghai Stock Exchange. It finds that market beta risk is priced in the time-series movements of stock prices and responds positively to rises in non-diversifiable risk. The asset...
Persistent link: https://www.econbiz.de/10013053876
Saved in:
4
Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
Jawadi, Fredj
;
Louhichi, Wael
;
Cheffou, Abdoulkarim Idi
; …
- In:
Decision making and risk/return optimization in …
,
(pp. 275-295)
.
2019
Persistent link: https://www.econbiz.de/10012134816
Saved in:
5
Testing the
CAPM
for the Brazilian stock market using multivariate GARCH between 1995 and 2012
Godeiro, Lucas Lúcio
;
Silva, Cesar R. da
;
Rodrigues, …
- In:
Journal of finance and investment analysis
2
(
2013
)
2
,
pp. 15-39
The paper tests the
CAPM
for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in …
Persistent link: https://www.econbiz.de/10009746028
Saved in:
6
Back to the future betas : empirical asset pricing of US and Southeast Asian markets
French, Jordan
- In:
International Journal of Financial Studies : open …
4
(
2016
)
3
,
pp. 1-13
. The crux of the traditional Capital Asset Pricing Model (
CAPM
) methodology is using historical data in the calculation of …
Persistent link: https://www.econbiz.de/10011526799
Saved in:
7
Does the equity premium puzzle persist during financial crisis? : the case of the French equity market
Bellelah, M. A.
;
Bellelah, M. O.
;
Ben Ameur, Hachmi
; …
- In:
Research in international business and finance
39
(
2017
),
pp. 851-866
Persistent link: https://www.econbiz.de/10011912395
Saved in:
8
Contagion and downside risk in the REIT market during the subprime mortgage crisis
Chen, Ming-Chi
;
Tsai, Hsiu-Jung
;
Sing, Tien-foo
;
Yang, …
- In:
International journal of strategic property management
19
(
2015
)
1
,
pp. 42-57
Persistent link: https://www.econbiz.de/10011302960
Saved in:
9
Time-varying beta, market volatility and stress : a comparison between the United States and India
Chakrabarti, Gagari
- In:
IIMB management review
33
(
2021
)
1
,
pp. 50-63
Persistent link: https://www.econbiz.de/10013205186
Saved in:
10
Higher moments and beta asymmetry : evidence from Australia
Doan, Minh-Phuong
;
Lin, Chien-ting
;
Chng, Michael
- In:
Accounting and finance : journal of the Accounting …
54
(
2014
)
3
,
pp. 779-807
Persistent link: https://www.econbiz.de/10011348087
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