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Insurance and banking interconnectedness in Europe : the opinion of equity markets
Nyholm, Ken - In: Economics research international (2012), pp. 1-8
Persistent link: https://www.econbiz.de/10010350270
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Inferring the private information content of trades : a regime-switching approach
Nyholm, Ken - In: Journal of applied econometrics 18 (2003) 4, pp. 457-470
Persistent link: https://www.econbiz.de/10001779861
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Inferring the private information content of trades : a regime-switching approach
Nyholm, Ken - 1999
Persistent link: https://www.econbiz.de/10001373089
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Analyzing specialist's quoting behaviour : a trade-by-trade study on the NYSE
Nyholm, Ken - 1998
Persistent link: https://www.econbiz.de/10001373117
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Inferring the private information content of trades : a regime-switching approach
Nyholm, Ken - 1999
Persistent link: https://www.econbiz.de/10001455779
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Analyzing specialist's quoting behaviour : a trade-by-trade study on the NYSE
Nyholm, Ken - 1999
Persistent link: https://www.econbiz.de/10001455818
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The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics
Lemke, Wolfgang; Werner, Thomas - 2009
We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...
Persistent link: https://www.econbiz.de/10011605091
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The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics
Lemke, Wolfgang; Werner, Thomas - 2009
We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...
Persistent link: https://www.econbiz.de/10003832616
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The Term Structure of Equity Premia in an Affine Arbitrage-Free Model of Bond and Stock Market Dynamics
Lemke, Wolfgang; Werner, Thomas - 2021
We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...
Persistent link: https://www.econbiz.de/10013316384