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Testing for cointegration between international stock prices

Ahlgren, Niklas; Antell, Jan - In: Applied financial economics 12 (2002) 12, pp. 851-861

Persistent link: https://www.econbiz.de/10001724679

Cobreaking of stock prices and contagion

Ahlgren, Niklas (contributor); Antell, Jan (contributor) - 2008

Persistent link: https://www.econbiz.de/10003734156

Tests for abnormal returns in the presence of event-induced cross-sectional correlation

Ahlgren, Niklas; Antell, Jan - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 286-301

Persistent link: https://www.econbiz.de/10011987446

Pricing currency risk in the stock market : evidence from Finland and Sweden ; 1970 - 2009

Antell, Jan; Vaihekoski, Mika - In: Journal of international financial markets, … 22 (2012) 1, pp. 120-136

Persistent link: https://www.econbiz.de/10009540834

Pricing Currency Risk in the Stock Market : Evidence from Finland and Sweden 1970-2009

Antell, Jan - 2013

We investigate the role of currency risk on stock markets in two interlinked Nordic countries exhibiting a gradual move from fixed to floating exchange rates. We apply the Ding and Engle (2001) covariance stationary specification in a multivariate GARCH-M setup to test a conditional...

Persistent link: https://www.econbiz.de/10013095538

Real estate investment and uncertainty : econometric modelling using Finnish data

Ahlgren, Niklas (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001544846

Panel cointegration of Chinese A and B shares

Ahlgren, Niklas (contributor); Sjöö, Boo (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001933245

Panel cointegration of Chinese A and B shares

Ahlgren, Niklas; Sjö, Bo; Zhang, Jianhua - In: Applied financial economics 19 (2009) 22/24, pp. 1859-1871

Persistent link: https://www.econbiz.de/10003921093

Panel Cointegration of Chinese A and B Shares

Ahlgren, Niklas (contributor); Sjö, Bo (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003691561

Countercyclical and Time-Varying Risk Aversion and the Equity Premium

Antell, Jan - 2020

This paper tests the positivity and counter-cyclicality of the reward to market risk (risk aversion). Earlier empirical support has been at best inconclusive. We apply the reverse testing approach of Antell and Vaihekoski (2019) to the conditional ICAPM. Using various GARCH models for the...

Persistent link: https://www.econbiz.de/10012855629