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How Persistent is Stock Return...
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Hwang, Soosung
27
Valls Pereira, Pedro L.
7
Satchell, Stephen E.
6
Bond, Shaun A.
5
Satchell, Steve E.
4
Salmon, Mark
3
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2
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2
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2
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2
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Sancetta, Alessio
2
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2
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Applied financial economics
6
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5
Journal of banking & finance
4
Applied mathematical finance
3
Economics letters
3
Real estate economics : journal of the American Real Estate and Urban Economics Association
3
The journal of asset management
3
Brazilian review of econometrics : the review of the Brazilian Econometric Society
2
The European journal of finance
2
The journal of real estate finance and economics
2
Econometric theory
1
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1
Journal of empirical finance
1
The journal of portfolio management : a publication of Institutional Investor
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OLC EcoSci
ECONIS (ZBW)
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12
EconStor
4
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1
How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models
Hwang, Soosung
;
Satchell, Steve E.
;
Valls Pereira, Pedro L.
- In:
Journal of business finance & accounting : JBFA
34
(
2007
)
5
,
pp. 1002
Persistent link: https://www.econbiz.de/10007750908
Saved in:
2
GARCH model with cross-sectional volatility: GARCHX models
Hwang, Soosung
;
Satchell, Steve E.
- In:
Applied financial economics
15
(
2005
)
3
,
pp. 203
Persistent link: https://www.econbiz.de/10007635927
Saved in:
3
Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines*
Sancetta, Alessio
;
Satchell, Steve E.
- In:
Applied mathematical finance
14
(
2007
)
3
,
pp. 227-242
Persistent link: https://www.econbiz.de/10008221753
Saved in:
4
Calculating hedge fund risk: the draw down and the maximum draw down
Sancetta, Alessio
;
Satchell, Steve E.
- In:
Applied mathematical finance
11
(
2004
)
3
,
pp. 259
Persistent link: https://www.econbiz.de/10008223286
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5
Testing the hypothesis of contagion using multivariate volatility models
Marçal, Emerson Fernandes
;
Pereira, Pedro L. Valls
- In:
Brazilian review of econometrics : the review of the …
28
(
2008
)
2
,
pp. 191-216
Persistent link: https://www.econbiz.de/10010077046
Saved in:
6
Review of major results of martingale theory applied to the valuation of contingent claims
Neto, Cícero Augusto Vieira
;
Pereira, Pedro L. Valls
- In:
Brazilian review of econometrics : the review of the …
21
(
2001
)
2
,
pp. 355-383
Persistent link: https://www.econbiz.de/10009089423
Saved in:
7
A Measure of Fundamental Volatility in the Commercial Property Market
Bond, Shaun A.
;
Hwang, Soosung
- In:
Real estate economics : journal of the American Real …
31
(
2003
)
4
,
pp. 577-600
Persistent link: https://www.econbiz.de/10006885526
Saved in:
8
Using Bayesian variable selection methods to choose style factors in global stock return models
Hall, Anthony D.
;
Hwang, Soosung
;
Satchell, Stephen E.
- In:
Journal of banking & finance
26
(
2002
)
12
,
pp. 2301-2326
Persistent link: https://www.econbiz.de/10005888372
Saved in:
9
Valuing information using utility functions: how much should we pay for linear factor models?
Hwang, Soosung
;
Satchell, Steve
- In:
The European journal of finance
11
(
2005
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10005923439
Saved in:
10
Exponential risk measure with application to UK asset allocation
Satchell, Stephen E.
;
Damant, David C.
;
Hwang, Soosung
- In:
Applied mathematical finance
7
(
2000
)
2
,
pp. 127
Persistent link: https://www.econbiz.de/10008217347
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