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Modeling Asset Returns: A Comparison of Theoretical and Empirical Models
Lüders, Erik; Schröder, Michael - 2004
This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad-hoc specifications others are derived from a representative...
Persistent link: https://www.econbiz.de/10010297345
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An empirical investigation of stock markets : the CCF approach
Hamori, Shigeyuki - 2003
Persistent link: https://www.econbiz.de/10001780162
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An empirical analysis of the interrelationships among equity markets under changing exchange rate systems
Bertonèche, Marc L. - In: Journal of banking & finance 3 (1979) 4, pp. 397-405
Persistent link: https://www.econbiz.de/10001906353
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Spectral analysis of stock market prices
Bertoneche, Marc L. - In: Journal of banking & finance 3 (1979) 2, pp. 201-208
Persistent link: https://www.econbiz.de/10001906440
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Size-related anomalies and stock return seasonality : further empirical evidence
Keim, Donald B. - In: Journal of financial economics 12 (1983) 1, pp. 13-32
Persistent link: https://www.econbiz.de/10002184686
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Transaction costs and the small firm effect
Stoll, Hans R.; Whaley, Robert E.; Schultz, Paul - In: Journal of financial economics 12 (1983) 1, pp. 57-75
Persistent link: https://www.econbiz.de/10002891112
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The anomalous stock market behavior of small firms in January : empirical tests for tax-loss selling effects
Reinganum, Marc R. - In: Journal of financial economics 12 (1983) 1, pp. 89-104
Persistent link: https://www.econbiz.de/10002699472
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New evidence on the nature of size-related anomalies in stock price
Brown, Philip - In: Journal of financial economics 12 (1983) 1, pp. 33-56
Persistent link: https://www.econbiz.de/10001952217
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An empirical investigation of the impact of a̕ntitakeover ̕amendaments on common stock prices
Linn, Scott C.; McConnell, John J. - In: Journal of financial economics 11 (1983) 1/4, pp. 361-399
Persistent link: https://www.econbiz.de/10002382200
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After the fall : stock price movements and the deterrent effect of antitrust enforcement
Thompson, John S.; Kaserman, David L. - In: Review of industrial organization : RIO 19 (2001) 3, pp. 329-334
Persistent link: https://www.econbiz.de/10001612901