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Temporal dependence in asset pricing models

Turtle, Harry J. - In: Economics letters 45 (1994) 3, pp. 361-366

Persistent link: https://www.econbiz.de/10001165771

Time variability in market risk aversion

Berger, Dave; Turtle, Harry J. - In: The journal of financial research 32 (2009) 3, pp. 285-307

Persistent link: https://www.econbiz.de/10003966449

Cross-sectional performance and investor sentiment in a multiple risk factor model

Berger, Dave; Turtle, Harry J. - In: Journal of banking & finance 36 (2012) 4, pp. 1107-1121

Persistent link: https://www.econbiz.de/10009557815

Tests of conditional asset pricing with time-varying moments and risk prices

Turtle, Harry J. - In: Journal of financial and quantitative analysis : JFQA 29 (1994) 1, pp. 15-29

Persistent link: https://www.econbiz.de/10001166028

On the market price of risk

Korkie, Robert M.; Turtle, Harry J. - In: Mathematics and financial economics 15 (2021) 4, pp. 675-718

Persistent link: https://www.econbiz.de/10012616854

The benefits of improved covariance estimation

Turtle, Harry J.; Wang, Kainan - In: Journal of empirical finance 37 (2016), pp. 233-246

Persistent link: https://www.econbiz.de/10011663041

Limiting investment opportunity sets, asset pricing, and the Roll critique

Korkie, Robert M.; Turtle, Harry J. - In: Journal of investment management : JOIM 22 (2024) 1, pp. 4-14

Persistent link: https://www.econbiz.de/10014546322

Limiting Investment Opportunity Sets, Asset Pricing, and the Roll Critique

Korkie, Bob; Turtle, Harry J. - 2023

We conduct an experiment in which assets of lower volatility risk are sequentially added to the investment opportunity set (IOS) of a fixed investment horizon. Econometric spanning tests show that the limiting IOS is the linear boundaries defined by the limiting IOS asymptotes, implying more...

Persistent link: https://www.econbiz.de/10014265094