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Implied idiosyncratic volatility and stock return predictability

Mateus, Cesario; Konsilp, Worawuth - In: Journal of mathematical finance 4 (2014) 5, pp. 338-352

Persistent link: https://www.econbiz.de/10011312407

An empirical analysis of the volatility in the open-end fund market : evidence from China

Xie, Shiqing; Huang, Xichen - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 150-162

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Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: Inventi impact: microfinance & banking (2021) 2, pp. 70-82

Persistent link: https://www.econbiz.de/10012816012

Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13

The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model. The model allows for asymmetric risk premia, causality...

Persistent link: https://www.econbiz.de/10012422545