Narrow search
Showing 1 - 10 of 40,477
Cover Image
Quantile relationships between standard, diffusion and jump betas across Japanese banks
Chowdhury, Biplob; Jeyasreedharan, Nagaratnam; Dungey, … - In: Journal of Asian economics 59 (2018), pp. 29-47
Persistent link: https://www.econbiz.de/10012102893
Cover Image
Time-varying beta in functional factor models : evidence from China
Horváth, Lajos; Li, Bo; Li, Hemei; Liu, Zhenya - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012665458
Cover Image
Return prediction with time varying betas : a research in BIST
Akyatan, Ayca; Çetin, M. Koray - In: International journal of accounting and finance 10 (2020) 1, pp. 64-86
Persistent link: https://www.econbiz.de/10012504722
Cover Image
Beta dispersion and market timing
Kuntz, Laura-Chloé - In: Journal of empirical finance 59 (2020), pp. 235-256
Persistent link: https://www.econbiz.de/10012437978
Cover Image
High-frequency factor models and regressions
Aït-Sahalia, Yacine; Kalnina, Ilze; Xiu, Dacheng - In: Journal of econometrics 216 (2020) 1, pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Cover Image
The impact of downside risk on expected return : evidence from emerging economies
Raza, Hassan; Hasan, Arshad; Rashid, Abdul - In: The Lahore journal of business 8 (2019) 1, pp. 91-106
Persistent link: https://www.econbiz.de/10012299297
Cover Image
Revisiting the CAPM model with quantile regression : creating investment strategies on the Zagreb Stock Exchange
Škrinjarić, Tihana; Slišković, Marina - In: International journal of economics and business … 19 (2020) 3, pp. 266-289
Persistent link: https://www.econbiz.de/10012205614
Cover Image
Beta dispersion and market timing
Kuntz, Laura-Chloé - 2020
The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...
Persistent link: https://www.econbiz.de/10012264452
Cover Image
Arbitrage pricing theory in ergodic markets
Frahm, Gabriel - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-28
Persistent link: https://www.econbiz.de/10011903768
Cover Image
On asymmetric market model with heteroskedasticity and quantile regression
Chen, Cathy W. S.; Li, Muyi; Nguyen, Nga T. H.; Songsak … - In: Computational economics 49 (2017) 1, pp. 155-174
Persistent link: https://www.econbiz.de/10011751821