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Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - 2011
Persistent link: https://www.econbiz.de/10009406434
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Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 633-661
Persistent link: https://www.econbiz.de/10010487089
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
existing evidence of the U.S., we show that country specific regressions for France, Germany, Japan, Switzerland and the U …
Persistent link: https://www.econbiz.de/10013115149
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
existing evidence of the U.S., we show that country specific regressions for France, Germany, Japan, Switzerland and the U …
Persistent link: https://www.econbiz.de/10013109053
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Risk premium contributions of the Fama and French mimicking factors
Bank, Matthias; Insam, Franz - In: Finance research letters 29 (2019), pp. 347-356
Persistent link: https://www.econbiz.de/10012419218
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The X-value factor
Souza, Thiago de Oliveira - 2020
Persistent link: https://www.econbiz.de/10012321736
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Predicting returns on asset markets of a small, open economy and the influence of global risks
Haab, David R.; Nitschka, Thomas - 2017
Persistent link: https://www.econbiz.de/10011794321
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Linear factor models and the estimation of expected returns
Sarisoy, Cisil; Goeij, Peter de; Werker, Bas J. M. - 2022
Persistent link: https://www.econbiz.de/10013479639
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Commodity return predictability : evidence from implied variance, skewness, and their risk premia
Finta, Marinela Adriana; Ornelas, José Renato Haas - In: Journal of international financial markets, … 79 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013358775
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Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben; Bollerslev, Tim - 1997
Persistent link: https://www.econbiz.de/10000627888