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Core earnings uncertainty, dividend change announcements and the reduction of covariance component risks

Dempsey, Stephen J.; Harrison, David M.; Sheng, Hainan - In: Journal of business finance & accounting : JBFA 42 (2015) 9/10, pp. 1075-1120

Persistent link: https://www.econbiz.de/10011535857

Zero-coupon interest rates : evaluating three alternative datasets

Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - 2018

The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...

Persistent link: https://www.econbiz.de/10011901875

Shrinking beta

Blitz, David; Swinkels, Laurens; Ūsaitė, Kristina; … - In: Journal of risk 24 (2022) 6, pp. 25-44

Persistent link: https://www.econbiz.de/10013549669

Why does the correlation between stock and bond returns vary over time?

Andersson, Magnus - In: Applied financial economics 18 (2008) 1/3, pp. 139-151

Persistent link: https://www.econbiz.de/10003739018

Pricing CDOs with a smile : the local correlation model

Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009

Persistent link: https://www.econbiz.de/10003787606

A long-run pure variance common features model for the common volatilities of the Dow Jones

Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42

Persistent link: https://www.econbiz.de/10003320235

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

Persistent link: https://www.econbiz.de/10003821063