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Conditional mean-variance efficiency of the US stock market
Engel, Charles; Frankel, Jeffrey A.; Froot, Kenneth; … - 1989
Persistent link: https://www.econbiz.de/10000762682
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Conditional mean-variance efficiency of the US stock market
Engel, Charles (contributor) - 1989
Persistent link: https://www.econbiz.de/10000123783
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Option pricing and spikes in volatility theoretical and empirical anaylsis
Zerilli, Paola (contributor) - 2007
Persistent link: https://www.econbiz.de/10003457458
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Risk factors for the Swiss stock market
Ammann, Manuel; Steiner, Michael - In: Swiss journal of economics and statistics 144 (2008) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10003671500
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Risk factors for the Swiss stock market
Ammann, Manuel (contributor); Steiner, Michael (contributor) - 2008
Persistent link: https://www.econbiz.de/10003674158
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Maximum likelihood estimation of the double exponential jump-diffusion process
Ramezani, Cyrus A.; Zeng, Yong - In: Annals of finance 3 (2007) 4, pp. 487-507
Persistent link: https://www.econbiz.de/10003529812
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Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011437764
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Time-varying industry beta in Indian stock market and forecasting errors
Das, Sudipta; Barai, Parama - In: International journal of emerging markets 10 (2015) 3, pp. 521-534
Persistent link: https://www.econbiz.de/10011489295
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Conditional coskewness in stock and bond markets : time-series evidence
Yang, Jian; Zhou, Yinggang; Wang, Zijun - In: Management science : journal of the Institute for … 56 (2010) 11, pp. 2031-2049
Persistent link: https://www.econbiz.de/10008748077
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Cross-sectional dependence in idiosyncratic volatility
Kalnina, Ilze; Tewou, Kokouvi - 2015
Persistent link: https://www.econbiz.de/10011404552