Similar Search Results

An answer to Roll's critique (1977) 45 years later

Desban, Marc; Diyarbakirlioglu, Erkin; Lajili Jarjir, Souad - In: Essays on Financial Analytics : Applications and Methods, (pp. 297-341). 2023

Persistent link: https://www.econbiz.de/10014338892

Essays in asset pricing and financial econometrics

Skoulakis, Georgios - 2006

Persistent link: https://www.econbiz.de/10003908302

Macro liquidity risk, money growth, and the cross-section of stock returns : the case of Korea

Jung, Hosung; Kim, Dongcheol - In: Emerging markets finance & trade : a journal of the … 52 (2016) 4/6, pp. 1438-1454

Persistent link: https://www.econbiz.de/10011563532

Interquantile expectation regression

Barendse, Sander - 2017

. Our results apply to stationary and ergodic time series. In a simulation study we show that our asymptotic theory provides …

Persistent link: https://www.econbiz.de/10011622915

Higher-order risk–returns to education

Henderson, Daniel J.; Souto, Anne-Charlotte; Wang, Le - In: Journal of risk and financial management : JRFM 13 (2020) 11/253, pp. 1-25

assets. As portfolio theory predicts, there could be a trade-off between returns to education and risks concerning those …

Persistent link: https://www.econbiz.de/10012389884

Time series momentum : is it there?

Huang, Dashan; Li, Jiangyuan; Wang, Liyao; Zhou, Guofu - In: Journal of financial economics 135 (2020) 3, pp. 774-794

Persistent link: https://www.econbiz.de/10012543228

Consumption, aggregate wealth and expected stock returns : a quantile cointegration approach

Quineche, Ricardo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 5, pp. 693-703

Persistent link: https://www.econbiz.de/10013554939

A further note on the optimality of the OLS hedge strategy

Lien, Da-hsiang Donald - In: The journal of futures markets 28 (2008) 3, pp. 308-311

Persistent link: https://www.econbiz.de/10003699396

Equity market information and credit risk signaling : a quantile cointegrating regression approach

Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59

Persistent link: https://www.econbiz.de/10011756467

Equity Market Information and Credit Risk Signaling : A Quantile Cointegrating Regression Approach

Gatfaoui, Hayette - 2018

Investigating linkages between credit and equity markets, we consider daily aggregate U.S. CDS spreads as well as well-chosen equity market and implied volatility indexes over ten years. We describe such robust (to spurious correlation) relationship with the quantile cointegrating regression...

Persistent link: https://www.econbiz.de/10012934158