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The betting against beta anomaly : fact or fiction?

Buchner, Axel; Wagner, Niklas F. - In: Finance research letters 16 (2016), pp. 283-289

Persistent link: https://www.econbiz.de/10011656225

Is the Korean green premium in equilibrium?

Eom, Yunsung; Kang, Young Dae; Sohn, Wook - In: International review of economics & finance : IREF 92 (2024), pp. 245-260

Persistent link: https://www.econbiz.de/10014534893

Betting against low nominal prices : evidence from China

Zhang, Bing - In: International review of economics & finance : IREF 88 (2023), pp. 476-500

Persistent link: https://www.econbiz.de/10014474579

Forecasting the volatilities of the Nigeria stock market prices

Ibrahim, Sikiru O. - In: CBN journal of applied statistics 8 (2017) 2, pp. 23-45

The objective of this work is to assess and forecast the volatilities of prices on the Nigeria Stock Exchange. The ARCH family (ARCH, GARCH, TGARCH, EGARCH and PGARCH) and ARIMA models are used to assess and forecast volatilities in prices on the Nigeria stock market. The EGARCH model is found...

Persistent link: https://www.econbiz.de/10011843540

Measuring the systematic risk of stocks using the capital asset pricing model

John, Abonongo; J., Ackora-Prah; Boateng, Kwasi - In: Journal of investment and management : JIM 6 (2017) 1, pp. 13-21

Persistent link: https://www.econbiz.de/10011780109

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

Improved beta modeling and forecasting : an unobserved component approach with conditional heteroscedastic disturbances

Ortas, E.; Salvador, Manuel; Moneva, J. M. - In: The North American journal of economics and finance : a … 31 (2015), pp. 27-51

Persistent link: https://www.econbiz.de/10011511029

New estimates of time-varying currency betas : a trivariate BEKK approach

Jayasinghe, Prabhath; Tsui, Albert K.; Zhang, Zhaoyong - In: Economic modelling 42 (2014), pp. 128-139

Persistent link: https://www.econbiz.de/10010478223

Estimating time-varying currency betas with contagion : new evidence from developed and emerging financial markets

Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Japan and the world economy : international journal of … 30 (2014), pp. 10-24

Persistent link: https://www.econbiz.de/10010462927

Asset pricing using block-cholesky GARCH and time-varying betas

Grassi, Stefano; Violante, Francesco - 2021

Persistent link: https://www.econbiz.de/10012620745