Similar Search Results

Narrow search

Dynamics of equity factor returns and asset pricing

Stoyanov, Stoyan V.; Fabozzi, Francesco A. - In: Journal of financial econometrics 19 (2021) 1, pp. 178-201

Persistent link: https://www.econbiz.de/10012504326

Modelling stock returns volatility with dynamic conditional score models and random shifts

Alanya-Beltran, Willy - In: Finance research letters 45 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014574910

Beta Measurement and Forecasting with High Frequency Returns

Doan, Bao Huy - 2020

measurement and forecasting of variance, covariance, correlation and Capital Asset Pricing Model (CAPM) beta. This paper studies … CAPM beta measurement and forecasting with high frequency returns and evaluates trade-offs between bias and variability …

Persistent link: https://www.econbiz.de/10012848006

Managing downside risk of low-risk anomaly portfolios

Kim, Hyuksoo; Kim, Saejoon - In: Finance research letters 46 (2022) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10013341589

Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management

So, Mike Ka-pui; Chan, Thomas W. C.; Chu, Amanda M. Y. - In: Journal of econometrics 227 (2022) 1, pp. 151-167

Persistent link: https://www.econbiz.de/10013441642

Factor volatility spillover and its implications on factor premia

Shi, Huai-Long; Zhou, Wei-Xing - In: Journal of international financial markets, … 80 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013533171

Measuring liquidity with return volatility : an analytical approach based on heavy-tailed Censored-GARCH model

Zhao, Wandi; Gao, Yang; Wang, Mingjin - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013538992

The value-growth premium in a time-varying risk return framework

Park, Keehwan; Jung, Mookwon; Fang, Zhongzheng - In: International review of economics & finance : IREF 88 (2023), pp. 1500-1512

Persistent link: https://www.econbiz.de/10014475293

A multivariate GARCH-jump mixture model

Li, Chenxing; Maheu, John M. - In: Journal of forecasting 43 (2024) 1, pp. 182-207

Persistent link: https://www.econbiz.de/10014443194

Expected stock market returns and volatility : three decades later

Kassa, Haimanot; Wang, Feifei; Yan, Xuemin Sterling - In: Critical finance review 12 (2023) 1/4, pp. 271-307

Persistent link: https://www.econbiz.de/10014370376

A service of the

zbw