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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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Forecasting yield spreads under crisis-induced multiple breakpoints
Grazzini, Caterina Forti; Guidolin, Massimo - In: Applied economics letters 20 (2013) 16/18, pp. 1656-1664
Persistent link: https://www.econbiz.de/10010222827
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Forecasting the equity risk premium in the Korean stock market : a factor analysis approach
Chun, Sungju - In: Global business and finance review 26 (2021) 4, pp. 77-89
Purpose: This article investigates stock return predictability in the Korean stock market using the methodology of dynamic factor analysis. Design/methodology/approach: This article collects monthly data on the equity risk premium on the KOSPI and twelve financial and macroeconomic variables...
Persistent link: https://www.econbiz.de/10013197293
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Global bond risk premia under falling stars
Zhang, Yugui; Zhu, Jie; Zhu, Xiaoneng - In: Finance research letters 42 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10014580460
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Stock returns and conditional volatility : an empirical investigation of the Swedish stock market
Hansson, Björn A.; Hördahl, Peter - 1994 - Preliminary version
Persistent link: https://www.econbiz.de/10000889012
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Ein nicht-lineares Zeitreihenmodell für schweizerische Aktienrenditen
Rohner, Marcel - 1993
Persistent link: https://www.econbiz.de/10000872628
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Why long horizons? : a study of power against persistent alternatives
Campbell, John Y. - 1993
Persistent link: https://www.econbiz.de/10000879027
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The ARCH Effect : a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns
El Din, Tarek Mohy - 1997
Persistent link: https://www.econbiz.de/10000623956
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Testing for nonlinearity in daily German stock returns
Funke, Michael - 1993
Persistent link: https://www.econbiz.de/10000142708
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Modelling economic high-frequency time series with STAR-STGARCH models
Lundbergh, Stefan; Teräsvirta, Timo - 1998
Persistent link: https://www.econbiz.de/10000168182