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Asset pricing when returns are nonnormal : fama-french factors versus higher-order systematic comoments
Chung, Y. Peter; Schill, Michael J. - In: The journal of business : B 79 (2006) 2, pp. 923-940
Persistent link: https://www.econbiz.de/10003310424
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The pricing of time-varying exchange rate risk in the stock market : a nonparametric approach
Chung, Y. Peter; Zhou, Zhong-guo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10009521656
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Risk and return in the Philippine equity market : a multifactor exploration
Bailey, Warren - In: Pacific-Basin finance journal 4 (1996) 2, pp. 197-218
Persistent link: https://www.econbiz.de/10001334569
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Asymmetric correlation as an explanation for the effect of asset skewness on equity returns
Chung, Y. Peter; Kim, Thomas S. - In: Asia-Pacific journal of financial studies 46 (2017) 5, pp. 686-699
Persistent link: https://www.econbiz.de/10011779392
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Time-varying risk aversion and return predictability
Yoon, Sun-Joong - In: International review of economics & finance : IREF 49 (2017), pp. 327-339
Persistent link: https://www.econbiz.de/10011748476
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Implied risk aversion and volatility risk premiums
Yoon, Sun-joong; Byun, Suk Joon - In: Applied financial economics 22 (2012) 1/3, pp. 59-70
Persistent link: https://www.econbiz.de/10009419575
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The role of the variance premium in Jump-GARCH option pricing models
Byun, Suk Joon; Jeon, Byoung Hyun; Min, Byungsun; Yoon, … - In: Journal of banking & finance 59 (2015), pp. 38-56
Persistent link: https://www.econbiz.de/10011544288