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Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model
Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119
Persistent link: https://www.econbiz.de/10011333691
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Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - 2014
Persistent link: https://www.econbiz.de/10010365630
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Isolating the systematic and unsystematic components of a single stock's (or portfolio's) standard deviation : a comment
Pizzutilo, Fabio - In: Applied economics 47 (2015) 58/60, pp. 6277-6283
Persistent link: https://www.econbiz.de/10011457263
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Currency risk in excess equity returns : a multi time-varying beta approach
Lim, Guay C. - In: Journal of international financial markets, … 15 (2005) 3, pp. 189-207
Persistent link: https://www.econbiz.de/10002922141
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Long- and short-run components of factor betas : implications for stock pricing
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun; … - In: Journal of international financial markets, … 74 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012803274
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Nonparametric dynamic conditional beta
Maheu, John M.; Zamenjani, Azam Shamsi - In: Journal of financial econometrics 19 (2021) 4, pp. 583-613
Persistent link: https://www.econbiz.de/10012654975
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Multivariate time-varying parameter modelling for stock markets
Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972
Persistent link: https://www.econbiz.de/10012616913
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Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas
Grassi, Stefano; Violante, Francesco - 2021
Starting from the Cholesky-GARCH model, recently proposed by Darolles, Francq, and Laurent (2018), the paper introduces the Block-Cholesky GARCH (BC-GARCH). This new model adapts in a natural way to the asset pricing framework. After deriving conditions for stationarity, uniform invertibility...
Persistent link: https://www.econbiz.de/10013239060
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A study on risk return relationship of it and pharmaceutical stocks listed in nseusing capital asset pricing model
Rekha, S.; Vasanth, V.; Sivakami, P. - In: International journal of applied business and economic … 17 (2019) 2, pp. 23-28
Persistent link: https://www.econbiz.de/10012495657
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Systematic risk and volatility skew
Tzang, Shyh-Weir; Wang, Chou-Wen; Yu, Min-Teh - In: International review of economics & finance : IREF 43 (2016), pp. 72-87
Persistent link: https://www.econbiz.de/10011625535