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Market volatility and momentum
Wang, Kevin Q.; Xu, Jianguo - In: Journal of empirical finance 30 (2015), pp. 79-91
Persistent link: https://www.econbiz.de/10011489219
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Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar; Schneider, Paul - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 479-506
Persistent link: https://www.econbiz.de/10010391949
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Price dividend ratio and long-run stock returns : a score-driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1054-1065
Persistent link: https://www.econbiz.de/10012653225
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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
Persistent link: https://www.econbiz.de/10012299985
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The VIX, the variance premium, and expected returns
Osterrieder, Daniela; Ventosa-Santaulària, Daniel; … - In: Journal of financial econometrics 17 (2019) 4, pp. 517-558
Persistent link: https://www.econbiz.de/10012149836
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Examining the sources of excess return predictability : stochastic volatility or market inefficiency?
Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - In: Journal of economic behavior & organization : JEBO 197 (2022), pp. 50-72
Persistent link: https://www.econbiz.de/10013383142
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Predicting equity premium by conditioning on macroeconomic variables : a prediction selection strategy using the price of crude oil
Nonejad, Nima - In: Finance research letters 41 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10013335945
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Stock return predictability in China : power of oil price trend
Cao, Zhen; Han, Liyan; Zhang, Qunzi - In: Finance research letters 47 (2022) 1, pp. 1-5
Persistent link: https://www.econbiz.de/10013457289
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Unveiling time-varying asymmetries in the stock market returns through energy prices, green innovation, and market risk factors : wavelet-based evidence from China
Ramzan, Muhammad; Hossain, Mohammad Razib; Abbasi, … - In: Economic change & restructuring 57 (2024) 3, pp. 1-36
Persistent link: https://www.econbiz.de/10015045169
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Are global systematic risk and country-specific idiosyncratic risk priced in the integrated world markets
Hueng, C. James - In: International review of economics & finance : IREF 33 (2014), pp. 28-38
Persistent link: https://www.econbiz.de/10010531290