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Pricing Shocks to Conditional Market Beta

Maurer, Thomas Andreas - 2016

We estimate monthly conditional market beta of 10 momentum and 25 size and book-to-market portfolios between 1946 and 2016 using a multivariate GARCH model. In the ICAPM conditional market beta are important determinants of expected returns and covariances of assets. Thus, shocks to conditional...

Persistent link: https://www.econbiz.de/10012978183

The impact of supply shocks on unemployment in Spain

Cuestas, Juan Carlos - In: Economics and Business Letters : EBL 5 (2016) 4, pp. 107-112

Persistent link: https://www.econbiz.de/10011715907

Inflationary shocks and common economic trends : implications for West African monetary union membership

Alagidede, Paul; Coleman, Simeon; Cuestas, Juan Carlos - In: Journal of policy modeling : JPMOD ; a social science … 34 (2012) 3, pp. 460-475

Persistent link: https://www.econbiz.de/10009624654

Fiscal shocks and budget balance persistence in the EU countries from Central and Eastern Europe

Cuestas, Juan Carlos; Stæhr, Karsten - In: Applied economics 45 (2013) 22/24, pp. 3211-3219

Persistent link: https://www.econbiz.de/10010345459

Persistence of inflationary shocks : implications for West African Monetary Union Membership

Alagidede, Paul; Coleman, Simeon; Cuestas, Juan Carlos - 2010

Persistent link: https://www.econbiz.de/10008748867

Fiscal shocks and budget balance persistence in the EU countries from Central and Eastern Europe

Cuestas, Juan Carlos; Stæhr, Karsten - 2011

Persistent link: https://www.econbiz.de/10009234688

Fiscal shocks and budget balance persistence in the EU countries from Central and Eastern Europe

Cuestas, Juan Carlos; Stæhr, Karsten - 2011

Persistent link: https://www.econbiz.de/10009238504

Convergence of inflationary shocks : evidence from the Caribbean

Cuestas, Juan Carlos; Ramlogan, Carlyn - In: The world economy : the leading journal on … 36 (2013) 9, pp. 1229-1243

Persistent link: https://www.econbiz.de/10010205909

Persistence of inflationary shocks : implications for West African Monetary Union membership

Alagidede, Paul; Coleman, Simeon; Cuestas, Juan Carlos - 2010

Persistent link: https://www.econbiz.de/10010211624

Asymmetries in the interaction between housing prices and housing credit in Estonia

Cuestas, Juan Carlos; Kukk, Merike - 2017

Persistent link: https://www.econbiz.de/10011634961

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