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Risk Premia and the Dynamic Co...
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Glabadanidis, Paskalis
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Scruggs, John T.
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Risk premia and the dynamic covariance between stock and bond returns
Scruggs, John T.
;
Glabadanidis, Paskalis
- In:
Journal of financial and quantitative analysis : JFQA
38
(
2003
)
2
,
pp. 295-316
Persistent link: https://www.econbiz.de/10001766856
Saved in:
2
Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance : a two-factor approach
Scruggs, John T.
- In:
The journal of finance : the journal of the American …
53
(
1998
)
2
,
pp. 575-603
Persistent link: https://www.econbiz.de/10001240513
Saved in:
3
Noise trade risk : evidence from the Siamese twins
Scruggs, John T.
- In:
Journal of financial markets
10
(
2007
)
1
,
pp. 76-105
Persistent link: https://www.econbiz.de/10003412615
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4
Estimating the cross-sectional market response to an endogenous event : Naked vs. underwritten calls of convertible bonds
Scruggs, John T.
- In:
Journal of empirical finance
14
(
2007
)
2
,
pp. 220-247
Persistent link: https://www.econbiz.de/10003499658
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5
Does neutralizing style factors help or hurt?
Scruggs, John T.
- In:
The journal of investing : JOI
30
(
2021
)
5
,
pp. 71-94
Persistent link: https://www.econbiz.de/10012613203
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6
Tangent portfolio weights without explicitly specified expected returns
Glabadanidis, Paskalis
- In:
The journal of asset management
15
(
2014
)
3
,
pp. 177-190
Persistent link: https://www.econbiz.de/10010415936
Saved in:
7
A dynamic asset pricing model with time-varying factor and idiosyncratic risk
Glabadanidis, Paskalis
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
3
,
pp. 247-264
Persistent link: https://www.econbiz.de/10003884186
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8
Measuring the economic significance of mean-variance spanning
Glabadanidis, Paskalis
- In:
The quarterly review of economics and finance : journal …
49
(
2009
)
2
,
pp. 596-616
Persistent link: https://www.econbiz.de/10003852503
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9
Market timing and moving averages : an empirical analysis of performance in asset allocation
Glabadanidis, Paskalis
-
2015
Persistent link: https://www.econbiz.de/10011305840
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10
The market timing power of moving averages : evidence from US REITs and REIT indexes
Glabadanidis, Paskalis
- In:
International review of finance
14
(
2014
)
2
,
pp. 161-202
Persistent link: https://www.econbiz.de/10010519319
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