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The time-series relations among expected return, risk, and book-to-market
Lewellen, Jonathan - In: Journal of financial economics 54 (1999) 1, pp. 5-43
Persistent link: https://www.econbiz.de/10001407051
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The Lock-In Effect of the Capital Gains Tax : Some Time Series Evidence
Slemrod, Joel B.; Feldstein, Martin S. - 2021
This study presents time-series evidence indicating that capital gains taxation reduces the realization of capital gains. The "lock-in" effect is detectable once we divide individuals into categories on the basis of how much recent capital gains tax in- creases have affected them. Since the tax...
Persistent link: https://www.econbiz.de/10013239990
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Capital Tax Incidence : First Impressions from the Time Series
Mulligan, Casey B. - 2021
Aggregate time series data are used to calculate the incidence of capital taxes. Part of the analysis is borrowed from the literature on sales tax incidence, comparing pre-tax interest rates with tax rates. The other part compares tax rates with after-tax interest rates, which are measured...
Persistent link: https://www.econbiz.de/10013247406
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The Lock-In Effect of the Capital Gains Tax : Some Time Series Evidence
Slemrod, Joel - 1978
This study presents time-series evidence indicating that capital gains taxation reduces the realization of capital gains. The "lock-in" effect is detectable once we divide individuals into categories on the basis of how much recent capital gains tax in- creases have affected them. Since the tax...
Persistent link: https://www.econbiz.de/10012478890
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Capital Tax Incidence : First Impressions from the Time Series
Mulligan, Casey B. - 2002
Aggregate time series data are used to calculate the incidence of capital taxes. Part of the analysis is borrowed from the literature on sales tax incidence, comparing pre-tax interest rates with tax rates. The other part compares tax rates with after-tax interest rates, which are measured...
Persistent link: https://www.econbiz.de/10012469329
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Stock markets, current account dynamics, and exchange rate determination
Mercereau, Benoît - 2002
Persistent link: https://www.econbiz.de/10003780033
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Modelling, estimation and visualization of multivariate dependence for high-frequency data
Brodin, Erik; Klüppelberg, Claudia - In: Statistical modelling and regression structures : …, (pp. 267-300). 2010
Persistent link: https://www.econbiz.de/10003964488
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Risk diversification : a study of persistence with a filtered correlation-network approach
Musmeci, Nicoló; Aste, Tomaso; Di Matteo, Tiziana - In: The journal of network theory in finance 1 (2015) 1, pp. 77-98
Persistent link: https://www.econbiz.de/10011374578
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Risk measurement with spectral capital allocation
Overbeck, Ludger; Sokolova, Maria - In: Applied quantitative finance, (pp. 139-159). 2009
Persistent link: https://www.econbiz.de/10003746012
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Modelling, estimation and visualization of multivariate dependence for risk management
Hsing, Tailen (contributor);  … - 2004
Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no … the data. -- Risk management ; extreme risk assessment ; multivariate models ; dependence function …
Persistent link: https://www.econbiz.de/10002638723