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The predictability of KLSE CI stock index futures returns and the conditional multifactor APT model
Ford, James L.; Pok, Wee Ching; Poshakwale, Sunil S. - 2006
Persistent link: https://www.econbiz.de/10003349102
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Stock markets and real-time macroeconomic data
Hartmann, Daniel - 2007
Persistent link: https://www.econbiz.de/10003516924
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The information content of high-frequency data for estimating equity return models and forecasting risk
Dobrev, Dobrislav; Szerszen, Pawel J. - 2010
Persistent link: https://www.econbiz.de/10008655786
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The information content of high-frequency data for estimating equity return models and forecasting risk
Dobrev, Dobrislav; Szerszen, Pawel - 2010
Persistent link: https://www.econbiz.de/10009550957
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Can economic uncertainty, financial stress and consumer sentiments predict US equity premium?
Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - In: Journal of international financial markets, … 33 (2014), pp. 367-378
Persistent link: https://www.econbiz.de/10011299816
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New evidence about the profitability of small and large stocks and the role of volume obtained using Strongly Typed Genetic Programming
Manahov, Viktor; Hudson, Robert; Linsley, Philip - In: Journal of international financial markets, … 33 (2014), pp. 299-316
Persistent link: https://www.econbiz.de/10011299824
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House prices, expectations, and time-varying fundamentals
Gelain, Paolo; Lansing, Kevin J. - In: Journal of empirical finance 29 (2014), pp. 3-25
Persistent link: https://www.econbiz.de/10011300508
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Conditional equity risk premia and realized variance jump risk
Wang, Zhanglong; Wang, Kent; Pan, Zheyao - In: Australian journal of management 40 (2015) 2, pp. 295-317
Persistent link: https://www.econbiz.de/10011342801
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Stock return predictability of residual-income-based valuation : risk or mispricing?
Hwang, Lee Seok; Lee, Woo-jong - In: Abacus : a journal of accounting, finance and business … 49 (2013) 2, pp. 219-241
Persistent link: https://www.econbiz.de/10009769203
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Jump-diffusion long-run risks models, variance risk premium and volatility dynamics
Jin, Jianjian - 2013
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of riskneutral and realized...
Persistent link: https://www.econbiz.de/10009734341