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Idiosyncratic volatility and stock returns : a cross country analysis

Kuntara Pukthuanthong; Visaltanachoti, Nuttawat - In: Applied financial economics 19 (2009) 16/18, pp. 1269-1281

Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the … eliminated through diversification. Using Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH …) estimated conditional idiosyncratic volatility of individual stocks across 36 countries from 1973 to 2007, we find that …

Persistent link: https://www.econbiz.de/10003886161

Forecasting stock return volatility at the quarterly frequency : an evaluation of time series approaches

Reeves, Jonathan J.; Xie, Xuan - In: Applied financial economics 24 (2014) 4/6, pp. 347-356

Persistent link: https://www.econbiz.de/10010399705

Volatility forecasting performance of two-scale realized volatility

Garg, S.; Vipul - In: Applied financial economics 24 (2014) 16/18, pp. 1111-1121

Persistent link: https://www.econbiz.de/10010418949

Inflation and output as predictors of stock returns and volatility : international evidence

Davis, Nicole; Kutan, Ali Mustafa - In: Applied financial economics 13 (2003) 9, pp. 693-700

Persistent link: https://www.econbiz.de/10001776863

Forecasting volatility in developing countries' nominal exchange returns

Antonakakis, Nikolaos; Darby, Julia - In: Applied financial economics 23 (2013) 19/21, pp. 1675-1691

Persistent link: https://www.econbiz.de/10010260183

The volatility of US term structure term premia 1952 - 1991

Henry, Ólan Thomas John - In: Applied financial economics 9 (1999) 3, pp. 263-271

Persistent link: https://www.econbiz.de/10001454511

An empirical investigation of the premium for volatility risk in currency options for the British pound

Sarwar, Ghulam - In: Applied financial economics 12 (2002) 12, pp. 913-921

Persistent link: https://www.econbiz.de/10001724754

Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets?

Jiang, Christine X.; Chiang, Thomas C. - In: Applied financial economics 10 (2000) 1, pp. 95-104

Persistent link: https://www.econbiz.de/10001525818

What drives stock prices? : fundamentals, bubbles and investor behaviour

Chen, Yen-hsiao; Fraser, Patricia - In: Applied financial economics 20 (2010) 16/18, pp. 1461-1477

Persistent link: https://www.econbiz.de/10009010920

Time-varying betas of sectoral returns to market returns and exchange rate movements

Karlsson, Hyunjoo Kim; Hacker, Scott - In: Applied financial economics 23 (2013) 13/15, pp. 1155-1168

Persistent link: https://www.econbiz.de/10010204788