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Risk price variation : the missing half of empirical asset pricing
Patton, Andrew J.
;
Weller, Brian M.
- In:
The review of financial studies
35
(
2022
)
11
,
pp. 5127-5184
Persistent link: https://www.econbiz.de/10013400158
Saved in:
2
Ranking multivariate GARCH models by problem dimension: an empirical evaluation
Caporin, Massimiliano
;
McAleer, Michael
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009619365
Saved in:
3
Ranking multivariate GARCH models by problem dimension
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987665
Saved in:
4
Modeling covariance risk in Merton's ICAPM
Rossi, Alberto
;
Timmermann, Allan
- In:
The review of financial studies
28
(
2015
)
5
,
pp. 1428-1461
Persistent link: https://www.econbiz.de/10011338198
Saved in:
5
Modeling and prediction of surgical procedure times
Stepaniak, Pieter S.
;
Heij, Christiaan
;
Vries, Guus de
-
2009
Persistent link: https://www.econbiz.de/10003908623
Saved in:
6
The skew risk premium in the equity index market
Kozhan, Roman
;
Neuberger, Anthony
;
Schneider, Paul
- In:
The review of financial studies
26
(
2013
)
9
,
pp. 2174-2203
Persistent link: https://www.econbiz.de/10010207278
Saved in:
7
Capturing option anomalies with a variance-dependent pricing Kernel
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
- In:
The review of financial studies
26
(
2013
)
8
,
pp. 1962-2006
Persistent link: https://www.econbiz.de/10010207293
Saved in:
8
Testing for causality in variance using multivariate GARCH model
Hafner, Christian M.
(
contributor
); …
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002056023
Saved in:
9
Testing for causality in variance in the presence of breaks
Dijk, Dick van
(
contributor
);
Osborn, Denise R.
(
contributor
)
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002452541
Saved in:
10
Variance risk-premium dynamics : the role of jumps
Todorov, Viktor
- In:
The review of financial studies
23
(
2010
)
1
,
pp. 345-383
Persistent link: https://www.econbiz.de/10003941654
Saved in:
11
Prospect theory and mean-variance analysis
Levy, Haim
;
Levy, Moshe
- In:
The review of financial studies
17
(
2004
)
4
,
pp. 1015-1041
Persistent link: https://www.econbiz.de/10002396431
Saved in:
12
Information flow and pricing errors : a unified approach to estimation and testing
George, Thomas J.
;
Hwang, Chuan-yang
- In:
The review of financial studies
14
(
2001
)
4
,
pp. 979-1020
Persistent link: https://www.econbiz.de/10001619461
Saved in:
13
On portfolio optimization : forecasting covariances and choosing the risk model
Chan, Louis K. C.
;
Karceski, Jason
;
Lakonishok, Josef
- In:
The review of financial studies
12
(
1999
)
5
,
pp. 937-974
Persistent link: https://www.econbiz.de/10001434627
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