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On a simple two-stage closed-form estimator for a stochastic volatility in a general linear regression
Dufour, Jean-Marie; Valéry, Pascale - 2006
Persistent link: https://www.econbiz.de/10003331387
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Stock returns, implied volatility innovations, and the asymmetric volatility phenomenon
Dennis, Patrick; Mayhew, Stewart; Stivers, Christopher T. - In: Journal of financial and quantitative analysis : JFQA 41 (2006) 2, pp. 381-406
Persistent link: https://www.econbiz.de/10003331899
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Do money and interest rates matter for stock prices? : An econometric study of Singapore and USA
Wong, Wing Keung; Khan, M. Habibullah; Du, Jun - In: The Singapore economic review : journal of the Economic … 51 (2006) 1, pp. 31-52
Persistent link: https://www.econbiz.de/10003331938
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Seasonal, size and value anomalies
Jacobsen, Ben; Mamun, Abdullah al; Visaltanachoti, Nuttawat - 2005
Persistent link: https://www.econbiz.de/10003332070
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US equity benchmarks - broad-cap, size, and style indexes : slicing and dicing the US equity market
Platt, Gardner; Pope, Brad; Rakvin, Chad - In: Active index investing : maximizing portfolio …, (pp. 118-137). 2004
Persistent link: https://www.econbiz.de/10003333490
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The friday effect in European securitized real estate index returns
Lenkkeri, Veera; Marquering, Wessel A.; … - In: The journal of real estate finance and economics 33 (2006) 1, pp. 31-50
Persistent link: https://www.econbiz.de/10003333538
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On the informational efficiency of S&P500 implied volatility
Becker, Ralf; Clements, Adam; White, Scott I. - In: The North American journal of economics and finance : a … 17 (2006) 2, pp. 139-153
Persistent link: https://www.econbiz.de/10003334337
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Dependence patterns across financial markets : a mixed copula approach
Hu, Ling - In: Applied financial economics 16 (2006) 10, pp. 717-729
Persistent link: https://www.econbiz.de/10003334985
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The stock market behaviour prior and subsequent to new highs
Schnusenberg, Oliver - In: Applied financial economics 16 (2006) 6, pp. 429-438
Persistent link: https://www.econbiz.de/10003335008
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Investigating asymmetry in US stock market indexes : evidence from a stochastic volatility model
Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide - In: Applied financial economics 16 (2006) 6, pp. 479-490
Persistent link: https://www.econbiz.de/10003335022