Similar Search Results

Comment on the Campbell-Cochrane habit model

Ljungqvist, Lars; Uhlig, Harald - In: Journal of political economy 123 (2015) 5, pp. 1201-1213

Persistent link: https://www.econbiz.de/10011409389

By force of habit : a consumption-based explanation of aggregate stock market behavior

Campbell, John Y.; Cochrane, John H. - 1994

Persistent link: https://www.econbiz.de/10000899054

By force of habit : a consumption-based explanation of aggregate stock market behavior

Campbell, John Y.; Cochrane, John H. - 1995

Persistent link: https://www.econbiz.de/10000907901

Earnings announcements are full of surprises

Brandt, Michael W.; Kishore, Runeet; Santa-Clara, Pedro; … - 2008 - This version: January 22, 2008

Persistent link: https://www.econbiz.de/10003768329

Forecasting stock market returns : the sum of the parts is more than the whole

Ferreira, Miguel A.; Santa-Clara, Pedro - 2008

Persistent link: https://www.econbiz.de/10003791605

Crashes, volatility, and the equity premium : lessons from S&P 500 options

Santa-Clara, Pedro; Yan, Shu - In: The review of economics and statistics 92 (2010) 2, pp. 435-451

Persistent link: https://www.econbiz.de/10008737706

Forecasting stock market returns : the sum of the parts is more than the whole

Ferreira, Miguel A.; Santa-Clara, Pedro - In: Journal of financial economics 100 (2011) 3, pp. 514-537

Persistent link: https://www.econbiz.de/10009242099

Predicting volatility: getting the most out of return data sampled at different frequencies

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen I. - In: Journal of econometrics 131 (2006) 1/2, pp. 59-95

Persistent link: https://www.econbiz.de/10003298564

Predicting volatility : getting the most out of return data sampled at different frequencies

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - 2004

"We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use of daily or intra-daily (5-minute) data, and in...

Persistent link: https://www.econbiz.de/10002482290

Flexible multivariate GARCH modeling with an application to international stock markets

Ledoit, Olivier (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001625994