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Essays in asset pricing and macroeconomics
Kleshchelski, Yizhaq - 2008
Persistent link: https://www.econbiz.de/10011390028
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Revealing downturns
Schmalz, Martin C.; Zhuk, Sergey - 2018
prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …
Persistent link: https://www.econbiz.de/10011794118
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R-squared and the economy
Morck, Randall; Yeung, Bernard; Yu, Wayne - 2013
Persistent link: https://www.econbiz.de/10009745239
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Endogenous dividend dynamics and the term structure of dividend strips
Belo, Frederico; Collin-Dufresne, Pierre; Goldstein, … - 2012
Persistent link: https://www.econbiz.de/10009666681
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The stochastic volatility in mean model : empirical evidence from international stock markets
Koopman, Siem Jan; Hol Uspensky, Eugenie - In: Journal of applied econometrics 17 (2002) 6, pp. 667-689
Persistent link: https://www.econbiz.de/10001723785
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Endogenous jumping and asset price dynamics
Lim, Guay C.; Martin, Vance; Teo, Leslie E. - In: Macroeconomic dynamics 2 (1998) 2, pp. 213-237
Persistent link: https://www.econbiz.de/10001617645
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The stochastic volatility on mean model : empirical evidence from international stock markets
Koopman, Siem Jan; Uspensky, Eugenie Hol - 2000
Persistent link: https://www.econbiz.de/10001472890
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Essays in financial economics
Zheng, Yijuan - 1996
Persistent link: https://www.econbiz.de/10000970243
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Stock market volatility and the business cycle
Shawky, Hany A. - In: Research in finance 15 (1997), pp. 137-168
Persistent link: https://www.econbiz.de/10001226619
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The pricing of volatility risk in the US equity market
Hitz, Lukas; Mustafi, Ismail H.; Zimmermann, Heinz - In: International review of financial analysis 79 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013349983