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Testing the empirical performance of stochastic volatility models of the short-term interest rate
Bali, Turan G. - In: Journal of financial and quantitative analysis : JFQA 35 (2000) 2, pp. 191-215
Persistent link: https://www.econbiz.de/10001510057
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Is the value premium a proxy for time-varying investment opportunities ? : some time-series evidence
Guo, Hui; Savickas, Robert; Wang, Zijun; Yang, Jian - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 1, pp. 133-154
Persistent link: https://www.econbiz.de/10003854572
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Risk-return tradeoff in US stock returns over the business cycle
Nyberg, Henri - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 1, pp. 137-158
Persistent link: https://www.econbiz.de/10009623139
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Of smiles and smirks : a term structure perspective
Das, Sanjiv R.; Sundaram, Rangarajan K. - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 2, pp. 211-239
Persistent link: https://www.econbiz.de/10001436315
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Leaders, followers, and risk dynamics in industry equilibrium
Carlson, Murray; Dockner, Engelbert J.; Fisher, Adlai; … - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 2, pp. 321-349
Persistent link: https://www.econbiz.de/10010487155
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Crash risk in currency returns
Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 1, pp. 137-170
Persistent link: https://www.econbiz.de/10011929414
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Crowding and tail risk in momentum returns
Barroso, Pedro; Edelen, Roger M.; Karehnke, Paul - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 4, pp. 1313-1342
Persistent link: https://www.econbiz.de/10013270306
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Autoregressive conditional skewness
Harvey, Campbell R.; Siddique, Akhtar R. - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 4, pp. 465-487
Persistent link: https://www.econbiz.de/10001436379
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On the relation between EGARCH idiosyncratic volatility and expected stock returns
Guo, Hui; Kassa, Haimanot; Ferguson, Michael F. - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 1, pp. 271-296
Persistent link: https://www.econbiz.de/10010408532
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Longer-term time-series volatility forecasts
Ederington, Louis H.; Guan, Wei - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 4, pp. 1055-1076
Persistent link: https://www.econbiz.de/10008758045