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Characterizing predictable components in excess returns on equity and foreign exchange markets

Bekaert, Geert; Hodrick, Robert J. - 1991

Persistent link: https://www.econbiz.de/10000819728

Asymmetric volatility and risk in equity markets

Bekaert, Geert; Wu, Guojun - 1997

Persistent link: https://www.econbiz.de/10000627885

Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998

Persistent link: https://www.econbiz.de/10000682409

The risk and return from factors

Chan, Louis K. C.; Karceski, Jason; Lakonishok, Josef - 1997

Persistent link: https://www.econbiz.de/10000634580

Are insiders' trades informative?

Lakonishok, Josef; Lee, Inmoo - 1998

Persistent link: https://www.econbiz.de/10000673936

Stock and bond returns with moody investors

Bekaert, Geert; Engstrom, Eric; Grenadier, Steven R. - 2006

Persistent link: https://www.econbiz.de/10003328105

Asset return dynamics under bad environment good environment fundamentals

Bekaert, Geert; Engstrom, Eric - 2009

Persistent link: https://www.econbiz.de/10003872301

On the correlation structure of microstructure noise : a financial economic approach

Diebold, Francis X.; Strasser, Georg - 2010

"We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature...

Persistent link: https://www.econbiz.de/10008697775

Aggregate idiosyncratic volatiity

Bekaert, Geert; Walsh, Randall P.; Zhang, Xiaoyan - 2010

Persistent link: https://www.econbiz.de/10003979088

Global yield curve dynamics and interactions : a dynamic Nelson-Siegel approach

Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - 2007

Persistent link: https://www.econbiz.de/10003595017