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Arbitrage opportunities in arbitrage-free models of bond pricing
Backus, David; Foresi, Silverio; Zin, Stanley E. - 1996
Persistent link: https://www.econbiz.de/10000593360
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The time-variation of risk and return in the foreign exchange and stock markets
Giovannini, Alberto; Jorion, Philippe - 1988
Persistent link: https://www.econbiz.de/10000755202
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Anomalies abroad : beyond data mining
Lu, Xiaomeng; Stambaugh, Robert F.; Yuan, Yu - 2017
Persistent link: https://www.econbiz.de/10011741422
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Momentum cycles and limits to arbitrage evidence from Victorian England and post-depression US stock markets
Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2009
Persistent link: https://www.econbiz.de/10003923538
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Arbitrage asymmetry and the idiosyncratic volatility puzzle
Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu - 2012
Persistent link: https://www.econbiz.de/10009680904
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Bond supply and excess bond returns
Greenwood, Robin; Vayanos, Dimitri - 2008
Persistent link: https://www.econbiz.de/10003659269
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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
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Testing for market microstructure effects in intraday volatility : a reassessment of the Tokyo FX experiment
Anderson, Torben G.; Bollerslev, Tim; Das, Ashish - 1998
Persistent link: https://www.econbiz.de/10000673940
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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
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Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns
Andersen, Torben; Bollerslev, Tim - 1996
Persistent link: https://www.econbiz.de/10000603372