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The risk-return relations : evidence from the Korean and Taiwan stock markets

Tang, Gordon Y. N.; Shum, Wai Cheong - In: Applied economics 39 (2007) 13/15, pp. 1905-1919

Persistent link: https://www.econbiz.de/10003535240

Calibration of stock betas from skews of implied volatilities

Fouque, Jean-Pierre; Kollman, Eli - In: Applied mathematical finance 18 (2011) 1/2, pp. 119-137

Persistent link: https://www.econbiz.de/10009154374

Re-examining covariance risk dynamics in international stock markets using quantile regression analysis

Li, Ming-yuan Leon; Yen, Stéphane Meng-feng - In: Acta oeconomica : periodical of the Hungarian Academy … 61 (2011) 1, pp. 33-59

Persistent link: https://www.econbiz.de/10009303870

"Leverage Effect" in country betas and volatilities?

Synyavska, Alina; Ülkü, Numan - In: Applied economics letters 22 (2015) 10/12, pp. 848-853

Persistent link: https://www.econbiz.de/10011286056

Estimating bull and bear betas for the Nigerian stock market using logistic smooth threshold model

Tumala, Mohammed M.; Yaya, OlaOluwa S. - In: CBN journal of applied statistics 6 (2015) 1, pp. 263-284

In this paper, we examine the Nigerian stock market sector returns and estimate the bull and bear betas using the … of financial crisis (February 2008) as the break point. The results show the significant correlations of stocks returns …

Persistent link: https://www.econbiz.de/10011473527

A Euro area stock market model with betas dependent on the financial markets cycle

Fonseca, José Soares da - In: International journal of monetary economics and finance 6 (2013) 4, pp. 302-308

Persistent link: https://www.econbiz.de/10010412981

Reexamining covariance risk dynamics in global stock markets using quantile regression analysis

Li, Ming-yuan Leon - In: Emerging markets : identification, new developments and …, (pp. 57-80). 2010

Persistent link: https://www.econbiz.de/10009563149

The size and book-to-market effects and the Fama-French three-factor model in small markets : preliminary findings from New Zealand

Djajadikerta, Hadrian (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003220907

Size and book-to-market effects in the returns on information technology stocks

Nguyen, Quang-Ngoc; Fetherston, Thomas Austin; Batten, … - In: Research in finance 21 (2004), pp. 45-91

Persistent link: https://www.econbiz.de/10002976230

New evidence on the impact of financial leverage on beta risk : a time-series approach

Faff, Robert W.; Brooks, Robert; Kee, Ho Yew - In: The North American journal of economics and finance : a … 13 (2002) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10001716383