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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

Effects of passive intensity on aggregate price dynamics

Ehsani, Sina; Lien, Da-hsiang Donald - In: The financial review : the official publication of the … 50 (2015) 3, pp. 363-391

Persistent link: https://www.econbiz.de/10011338153

Conditional equity risk premia and realized variance jump risk

Wang, Zhanglong; Wang, Kent; Pan, Zheyao - In: Australian journal of management 40 (2015) 2, pp. 295-317

Persistent link: https://www.econbiz.de/10011342801

Large-scale empirical tests of the Markov Tree model

Bhat, Harish S.; Kumar, Nitesh - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 280-318

and Heston's stochastic volatility model. Leveraging a total of five years of individual equity and index option data, and … accurate and less risky single instrument hedges than Heston's stochastic volatility model. A statistical resampling method …

Persistent link: https://www.econbiz.de/10011312214

Does beta explain global equity market volatility : some empirical evidence

Kurach, Radoslaw - In: Contemporary economics 7 (2013) 2, pp. 55-66

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity … country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

Persistent link: https://www.econbiz.de/10009770247