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Breaks and persistency: macroeconomic causes of stock market volatility

Beltratti, A.; Morana, C. - In: Journal of Econometrics 131 (2006) 1-2, pp. 151-177

Persistent link: https://www.econbiz.de/10005192352

International stock markets comovements : the role of economic and financial integration

Morana, Claudio - In: Empirical economics : a journal of the Institute for … 35 (2008) 2, pp. 333-359

Persistent link: https://www.econbiz.de/10003758013

A small scale macroeconomics model for the Euro-12 area

Morana, Claudio - In: Economic modelling 23 (2006) 3, pp. 397-426

Persistent link: https://www.econbiz.de/10003333367

Realized betas and the cross-section of expected returns

Morana, Claudio - In: Applied financial economics 19 (2009) 16/18, pp. 1371-1381

What explains the cross section of expected returns for the 25 size/value Fama-French (FF) portfolios? It is found that modelling time-varying betas is important to explain the cross section of expected returns, as well as to comply with the time series restriction on Jensen-alpha. Support for a...

Persistent link: https://www.econbiz.de/10003886197