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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

Persistent link: https://www.econbiz.de/10010341025

Collateralization and asset price bubbles when investors disagree about risk

Broer, Tobias; Kero, Afroditi - In: Journal of banking & finance 128 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012821680

Regime shift, speculation, and stock price

Du, Ke; Fu, Yishu; Qin, Zhenjiang; Zhang, Shuoxun - In: Research in international business and finance 52 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012548582

Risk bearing ability of investors in Indian stock market

Valliappan, M. - In: International journal of economic research 12 (2015) 2, pp. 287-293

Persistent link: https://www.econbiz.de/10011419781

Idiosyncratic risk and expected returns in frontier markets : evidence from GCC

Bley, Jorg; Saad, Mohsen M. - In: Journal of international financial markets, … 22 (2012) 3, pp. 538-554

Persistent link: https://www.econbiz.de/10009623547

Size, value, and momentum in emerging market stock returns

Cakici, Nusret; Fabozzi, Frank J.; Tan, Sinan - In: Emerging markets review 16 (2013), pp. 46-65

Persistent link: https://www.econbiz.de/10010243168

Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10011523781

State dependence of aggregated risk aversion : evidenve for the German stock market

Hansen, Marc; Herwartz, Helmut; Rengel, Malte - In: Journal of applied economics 17 (2014) 2, pp. 257-281

Persistent link: https://www.econbiz.de/10011554687

Risk and return in the Chinese stock market : does equity return dispersion proxy risk?

Chen, Chun-Da; Demirer, Rıza; Jategaonkar, Shrikant P. - In: Pacific-Basin finance journal 33 (2015), pp. 23-37

Persistent link: https://www.econbiz.de/10011474042

Three-Factor Model of Asset Pricing : Empirical Evidence from the Indian Stock Market

Anwar, Mobin - 2018

stock pricing was Capital Asset Pricing Model (CAPM) given by William Sharpe in 1964. After that a deluge of pragmatic … evidence came up and challenged the CAPM. Despite being criticized by several researchers, CAPM became a basis for the … of stocks than CAPM, and the anomalies of CAPM are captured by the three-factor model. The present study is an attempt to …

Persistent link: https://www.econbiz.de/10012908623