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Another perspective on the effects of inflation uncertainty
Elder, John - In: Journal of money, credit and banking : JMCB 36 (2004) 5, pp. 911-928
Persistent link: https://www.econbiz.de/10002436656
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Sources of time-varying risk premia in the term structure
Elder, John - In: Advances in investment analysis and portfolio … 9 (2002), pp. 85-108
Persistent link: https://www.econbiz.de/10001695510
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An impulse-response function for a vector autoregression with multivariate GARCH-in-mean
Elder, John - In: Economics letters 79 (2003) 1, pp. 21-26
Persistent link: https://www.econbiz.de/10001741256
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Can the volatility of the federal funds rate explain the time-varying risk premium in Treasury bill returns?
Elder, John - In: Journal of macroeconomics 23 (2001) 1, pp. 73-97
Persistent link: https://www.econbiz.de/10001553555
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Estimating the arbitrage pricing theory with observed macro factors
Elder, John - In: Economics letters 55 (1997) 2, pp. 241-246
Persistent link: https://www.econbiz.de/10001227342
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Oil price volatility : industrial production and special aggregates
Elder, John - In: Macroeconomic dynamics 22 (2018) 3, pp. 640-653
Persistent link: https://www.econbiz.de/10011916668
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A bivariate zero-inflated count data regression model with unrestricted correlation
Gurmu, Shiferaw; Elder, John - In: Economics letters 100 (2008) 2, pp. 245-248
Persistent link: https://www.econbiz.de/10003768241
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Macroeconomic uncertainty and performance in Asian countries
Bredin, Donal; Elder, John; Fountas, Stilianos - In: Review of development economics 13 (2009) 2, pp. 215-229
Persistent link: https://www.econbiz.de/10003839636
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Fractional integration in commodity futures returns
Elder, John; Jin, Hyun Joung - In: The financial review : the official publication of the … 44 (2009) 4, pp. 583-602
Persistent link: https://www.econbiz.de/10003899953
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US oil price exposure : the industry effects
Bredin, Donal; Elder, John - 2011
This paper investigates the exposure of industry level portfolios to oil price shocks. Our paper utilizes the Campbell (1991) decomposition of stock returns based on a log-linear approximation to the discounted present value relation while allowing for time varying expected returns. The results...
Persistent link: https://www.econbiz.de/10008908877