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The distribution of cross sectional momentum returns
Kwon, Oh Kang; Satchell, Stephen - In: Journal of economic dynamics & control 94 (2018), pp. 225-241
Persistent link: https://www.econbiz.de/10012004391
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Drawdown measures and return moments
Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
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A GMM skewness and kurtosis ratio test for higher moment dependence
Wong, Woon K. - In: Journal of financial econometrics 18 (2020) 2, pp. 307-332
Persistent link: https://www.econbiz.de/10012232960
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Forecasting gold returns volatility over 1258-2023 : the role of moments
Muddana, Thanoj K.; Bhimreddy, Komal S. R.; Majumdar, … - 2024
Persistent link: https://www.econbiz.de/10014536233
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Power of moment-based normality tests : empirical analysis on Indian stock market index
Shaik, Muneer; Gulhane, Rutvik Digambar - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 2989-2997
Persistent link: https://www.econbiz.de/10014327637
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Forecasting stock returns volatility of the G7 over centuries : the role of climate risks
Bouri, Elie; Gupta, Rangan; Liphadzi, Asingamaanda; … - 2024
Persistent link: https://www.econbiz.de/10014553267
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Kaldorian demand functions and the return to capital : an analysis in a trade theoretic framework
Agarwal, Manmohan; Hazari, Bharat R. - In: Pacific economic review 14 (2009) 1, pp. 113-118
Persistent link: https://www.econbiz.de/10003839595
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A quantile regression approach to equity premium prediction
Meligkotsidou, Loukia; Panopulu, Aikaterinē; Vrontos, … - In: Journal of forecasting 33 (2014) 7, pp. 558-576
Persistent link: https://www.econbiz.de/10011282859
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A meta-analysis of the equity premium
Ewijk, Casper van; Groot, Henri L. F. de; Santing, Coos - 2010
The equity premium is a key parameter in asset allocation policies. There is a vigorous debate in the literature regarding the actual measurement of the equity premium, its size and the determinants of its variation. This study aims to take stock of this literature by means of a meta-analysis....
Persistent link: https://www.econbiz.de/10011381035
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Estimating C-CAPM and the equity premium over the frequency domain
Kalyvitēs, Sarantēs; Panopulu, Aikaterinē - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 551-571
Persistent link: https://www.econbiz.de/10010228554