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Testing forecasting power of the conditional relationship between beta and return
Verma, Rahul - In: Journal of risk finance : the convergence of financial … 12 (2011) 1, pp. 69-77
Persistent link: https://www.econbiz.de/10008987153
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Systematic risk and the cross section of hedge fund returns
Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 106 (2012) 1, pp. 114-131
Persistent link: https://www.econbiz.de/10009666668
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The cross section of expected returns with MIDAS betas
González, Mariano; Nave Pineda, Juan M.; Rubio, Gonzalo - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 1, pp. 115-135
Persistent link: https://www.econbiz.de/10009623141
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Constant versus time-varying beta models : further forecast evaluation
Reeves, Jonathan J.; Wu, Haifeng - In: Journal of forecasting 32 (2013) 3, pp. 256-266
Persistent link: https://www.econbiz.de/10009758646
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Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - 2014
Persistent link: https://www.econbiz.de/10010365630
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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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Conditional market beta for REITs : a comparison of modeling techniques
Zhou, Jian - In: Economic modelling 30 (2013), pp. 196-204
Persistent link: https://www.econbiz.de/10009703687
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Liquidity and asset prices : an empirical investigation of the nordic stock markets
Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705
Persistent link: https://www.econbiz.de/10011408519
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Habit formation and the cross section of stock returns
Menzly, Lior (contributor); Santos, Tano (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001636417
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Constant vs. Time-Varying Beta Models : Further Forecast Evaluation
Reeves, Jonathan J. - 2011
Recent advances in the measurement of beta (systematic return risk) and volatility (total return risk), demonstrate substantial advantages in utilizing high frequency return data in a variety of settings. These advances in the measurement of beta and volatility have resulted in improvements in...
Persistent link: https://www.econbiz.de/10013133105