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Bond return predictability : economic value and links to the macroeconomy
Pettenuzzo, Davide; Gargano, Antonio; Timmermann, Allan - 2014
Persistent link: https://www.econbiz.de/10010505306
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - 2014
Persistent link: https://www.econbiz.de/10010409119
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Pricing of firm specific jump risk
Ascheberg, Marius; Kraft, Holger; Yildirim, Yildiray - In: Essays on empirical asset pricing, dynamic asset …, (pp. 21-68). 2013
Persistent link: https://www.econbiz.de/10010412571
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Modifikation der Verteilungsannahme im Value-at-Risk-Modell
Jödicke, Ralf; Schremper, Ralf - 1999
Persistent link: https://www.econbiz.de/10001404275
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Extreme dependence and spillovers between uncertainty indices and stock markets : does the US market play a major role?
Mensi, Walid; Kamal, Md Rajib; Xuan Vinh Vo; Kang, Sang Hoon - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-23
Persistent link: https://www.econbiz.de/10014485327
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Measuring the risk-return tradeoff with time-varying conditional covariances
Hedegaard, Esben; Hodrick, Robert J. - 2014
Persistent link: https://www.econbiz.de/10010386644
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Capital share risk and shareholder heterogeneity in US stock pricing
Lettau, Martin; Ludvigson, Sydney C.; Ma, Sai - 2014
Persistent link: https://www.econbiz.de/10010467583
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A slowly evolving mean of the price-to-dividend ratio, its economic influences and predictive power for stock returns
Herwartz, Helmut; Rengel, Malte; Fang, Xu - In: An analysis of long-term influences on financial …, (pp. 7-41). 2014
Persistent link: https://www.econbiz.de/10010480408
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Capital share risk and shareholder heterogeneity in US stock pricing
Lettau, Martin; Ludvigson, Sydney C.; Ma, Sai - 2015
Persistent link: https://www.econbiz.de/10010482973
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Capital Share Risk in U.S. Asset Pricing
Lettau, Martin - 2014
A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...
Persistent link: https://www.econbiz.de/10013040236