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Robust econometric inference for stock return predictability

Kostakis, Alexandros; Magdalinos, Tassos; … - In: The review of financial studies 28 (2015) 5, pp. 1506-1553

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A triple-threshold leverage stochastic volatility model

Wu, Xin-Yu; Zhou, Hai-Lin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 483-500

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Exploiting stochastic dominance to generate abnormal stock returns

Clark, Ephraim; Kassimatis, Konstantinos - In: Journal of financial markets 20 (2014), pp. 20-38

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The sensitivity of beta to the time horizon when log prices follow an Ornstein-Uhlenbeck process

Hong, KiHoon Jimmy; Satchell, Stephen - In: The European journal of finance 20 (2014) 1/3, pp. 264-290

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Guaranteed stop orders as portfolio insurance : an analysis for the German stock market

Leicht, Jonathan Josef; Rathgeber, Andreas W. - In: Journal of derivatives & hedge funds 20 (2014) 4, pp. 257-278

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Rank tests at jump events

Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321

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A new approach to volatility modeling : the factorial hidden Markov volatility model

Augustyniak, Maciej; Bauwens, Luc; Dufays, Arnaud - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 696-709

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A jump and smile ride : jump and variance risk premia in option pricing

Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of financial econometrics 18 (2020) 1, pp. 121-157

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Defined contribution pension planning with a stochastic interest rate and mean-reverting returns under the hyperbolic absolute risk aversion preference

Chang, Hao; Wang, Chunfeng; Fang, Zhenming; Ma, Dan - In: IMA journal of management mathematics 31 (2020) 2, pp. 167-189

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Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? : Comparing squared end-of-day returns on ftse

Allen, David E.; McAleer, Michael - In: Risks : open access journal 8 (2020) 1/12, pp. 1-20

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV) of FTSE sampled at 5 min intervals taken...

Persistent link: https://www.econbiz.de/10012203997