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Multifactor consumption based asset pricing models using the US stock market as a reference : evidence from a panel of developed economies
Hunter, John; Wu, Feng - In: Economic modelling 36 (2014), pp. 557-565
Persistent link: https://www.econbiz.de/10010416359
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Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
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Monetary policy, bond returns and debt dynamics
Berndt, Antje; Yeltekin, Şevin - In: Journal of monetary economics 73 (2015), pp. 119-136
Persistent link: https://www.econbiz.de/10011381760
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How does the change in investor sentiment over time affect stock returns?
Ding, Cherng G.; Wang, Hung-jui; Lee, Meng-che; Hung, … - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 144-158
Persistent link: https://www.econbiz.de/10010402965
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Panel evidence on the ability of oil returns to predict stock returns in the G7 area
Westerlund, Joakim; Sharma, Susan Sunila - In: Energy economics 77 (2019), pp. 3-12
Persistent link: https://www.econbiz.de/10012306331
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Liquidity, surprise volume and return premia in the oil market
Batten, Jonathan A.; Kinateder, Harald; Szilágyi, Péter G. - In: Energy economics 77 (2019), pp. 93-104
Persistent link: https://www.econbiz.de/10012306351
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Dividend growth and equity premium predictability
Zhu, Min; Chen, Rui; Du, Ke; Wang, You-Gan - In: International review of economics & finance : IREF 56 (2018), pp. 125-137
Persistent link: https://www.econbiz.de/10012033679
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Regime shifts and stock return predictability
Hammerschmid, Regina; Lohre, Harald - In: International review of economics & finance : IREF 56 (2018), pp. 138-160
Persistent link: https://www.econbiz.de/10012033680
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The variance implied conditional correlation
Algaba, Andres; Boudt, Kris; Vanduffel, Steven - In: The European journal of finance 26 (2020) 2/3, pp. 200-222
Persistent link: https://www.econbiz.de/10012207197
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How informative is high-frequency data for tail risk estimation and forecasting? : an intrinsic time perspectice
Dimitriadis, Timo; Halbleib, Roxana - 2019
This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...
Persistent link: https://www.econbiz.de/10012317619