There exist dual-listed stocks which are issued by the same company in some stock markets. Although these stocks bare the same firm-specific risk and enjoy identical dividends and voting policies, they are priced differently. Some previous studies show this seeming deviation from the law of one...

We apply the fractionally integrated exponential GARCH with volatility-in-mean (FIEGARCH-M) model of Christensen, Nielsen amp; Zhu (2007) to estimate the risk premium after different crises occurred in major stock markets during the past two decades. The model allows keeping the long memory...

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid that the long memory property of volatility carries over to...