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Economic foundations of capital market returns
Singer, Brian D.; Terhaar, Kevin - 1997
Persistent link: https://www.econbiz.de/10001425903
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An EM algorithm for conditionally heteroscedastic factor models
Dēmos, Antōnēs A. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 3, pp. 357-361
Persistent link: https://www.econbiz.de/10001246504
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Consumption risk and FX trading returns
Klein, Alina F.; Klein, Rudolf F. - In: International journal of economic perspectives : IJEP 6 (2012) 4, pp. 73-92
Persistent link: https://www.econbiz.de/10011587224
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Do macroeconomic factors help in predicting international equity risk premia? : Testing the out-of-sample accuracy of linear and nonlinear forecasts
Dropsy, Vincent - In: The journal of applied business research 12 (1996) 3, pp. 120-132
Persistent link: https://www.econbiz.de/10001205322
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Consumption-based versus production-based models of international equity markets
Kasa, Kenneth - In: Journal of international money and finance 16 (1997) 5, pp. 653-680
Persistent link: https://www.econbiz.de/10001235428
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Microeconomic sources of equity risk
Wickens, Michael R. - 2003
Persistent link: https://www.econbiz.de/10013424340
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2011
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10013119324
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2010
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10013141467
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Triumph of the optimists : 101 years of global investment returns
Dimson, Elroy; Marsh, Paul; Staunton, Mike - 2002
.K., Japan, France, Germany, Canada, Italy, Spain, Switzerland, Australia, the Netherlands, Sweden, Belgium, Ireland, Denmark …
Persistent link: https://www.econbiz.de/10014488074
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Triumph of the optimists : 101 years of global investment returns
Dimson, Elroy; Marsh, Paul; Staunton, Mike - 2002 - 1. ed.
Persistent link: https://www.econbiz.de/10001635057