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Multivariate GARCH with dynamic beta
Raddant, Matthias; Wagner, Friedrich - In: The European journal of finance 28 (2022) 13/15, pp. 1324-1343
Persistent link: https://www.econbiz.de/10013532205
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Time series momentum
Moskowitz, Tobias J.; Ooi, Yao Hua; Pedersen, Lasse Heje - In: Journal of financial economics 104 (2012) 2, pp. 228-250
Persistent link: https://www.econbiz.de/10009621174
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Fixed-mix rules in an evolutionary market using a factor model for dividends
Mavroudis, Konstantinos; Nolder, Craig A. - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1247-1277
Persistent link: https://www.econbiz.de/10009541997
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The role of trading volume in forecasting market risk
Slim, Skander - In: Inventi impact: international trade (2016) 3, pp. 169-181
Persistent link: https://www.econbiz.de/10011567980
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Collateralization and asset price bubbles when investors disagree about risk
Broer, Tobias; Kero, Afroditi - In: Journal of banking & finance 128 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012821680
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Essays on the impact of incomplete information
Leon, Chuen Hwa - 2004
Persistent link: https://www.econbiz.de/10003555715
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Exchange rate volatility, trading volume and interest rate differential in a model of portfolio selection
Hagiwara, May; Herce, Miguel A. - 1994
Persistent link: https://www.econbiz.de/10000914330
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Profitability of time series momentum
He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157
Persistent link: https://www.econbiz.de/10011377714
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A heterogeneous agents equilibrium model for the term structure of bond market liquidity
Schuster, Philipp; Gehde-Trapp, Monika; Uhrig-Homburg, … - 2013
We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when investors differ in their investment horizons. In equilibrium, illiquidity spills over from short-term to long-term assets and trading concentrates on assets of intermediate maturity....
Persistent link: https://www.econbiz.de/10009767309
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A heterogeneous agents equilibrium model for the term structure of bond market liquidity
Schuster, Philipp; Gehde-Trapp, Monika; Uhrig-Homburg, … - 2013 - Rev.
We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when investors differ in their investment horizons. In equilibrium, short-horizon investors only invest in short-term assets and illiquidity spills over from short-term to long-term...
Persistent link: https://www.econbiz.de/10010248497