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Correlations and volatilities of asynchronous data
Burns, Patrick - In: The journal of derivatives : the official publication … 5 (1998) 4, pp. 7-18
Persistent link: https://www.econbiz.de/10001246679
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Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011437764
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The return of financial variables in forecasting GDP growth in the G-7
Kuosmanen, Petri; Vataja, Juuso - In: Economic change and restructuring : empirical and … 50 (2017) 3, pp. 259-277
Persistent link: https://www.econbiz.de/10011778412
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Testing international asset pricing models using implied costs of capital
Lee, Charles M. C.; Ng, David Tat-chee; Swaminathan, … - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 2, pp. 307-335
Persistent link: https://www.econbiz.de/10003865566
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Stock returns and expected output : evidence from the G7 economies
Apergēs, Nikolaos; Alexakis, Panayotis - In: International journal of economic research 7 (2010) 1, pp. 91-101
Persistent link: https://www.econbiz.de/10003997849
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Money supply endogeneity and bank stock returns
Badarudin, Zatul E.; Ariff, Mohamed; Khalid, Ahmed M. - In: Applied financial economics 21 (2011) 13/15, pp. 1035-1048
Persistent link: https://www.econbiz.de/10009317440
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International evidence for return predictability and the implications for long-run covariation of the G7 stock markets
Nitschka, Thomas - In: German economic review 11 (2010) 4, pp. 527-544
Persistent link: https://www.econbiz.de/10008772903
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International evidence for return predictability and the implications for long-run covariation of the G7 stock markets
Nitschka, Thomas - 2007
Persistent link: https://www.econbiz.de/10003690964
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Downside Risk and Stock Returns : An Empirical Analysis of the Long-Run and Short-Run Dynamics from the G-7 Countries
Chen, Cathy - 2016
This paper presents a fractionally cointegrated vector autoregression (FCVAR) model to examine various relations between stock returns and downside risk. Evidence from major advanced markets supports the notion that downside risk measured by value-at-risk (VaR) has significant information...
Persistent link: https://www.econbiz.de/10012988061
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Economic integration and the comovement of stock returns
Tavares, José - In: Economics letters 103 (2009) 2, pp. 65-67
Persistent link: https://www.econbiz.de/10003846681