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[Rezension von: Cochrane, John Howland, Asset pricing]
Ferson, Wayne E. - In: Journal of economic literature 42 (2004) 2, pp. 525-526
Persistent link: https://www.econbiz.de/10002163639
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Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets
Aragon, George O. - 2018
The VIX index is not traded on the spot market. Hence, in contrast to other futures markets, the VIX futures contract and spot index are not linked by a no-arbitrage condition. We examine (a) whether predictability in the VIX index carries over to the futures market, and (b) whether there is...
Persistent link: https://www.econbiz.de/10012919860
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Stock market trading activity and returns around milestones
Aragon, George O.; Dieckmann, Stephan - In: Journal of empirical finance 18 (2011) 4, pp. 570-584
Persistent link: https://www.econbiz.de/10009306543
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Do properly anticipated prices fluctuate randomly? : evidence from VIX futures markets
Aragon, George O.; Mehra, Rajnish; Wahal, Sunil - 2018
Persistent link: https://www.econbiz.de/10011863551
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Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets
Aragon, George O. - 2020
The VIX index is not traded on the spot market. Hence, in contrast to other futures markets, the VIX futures contract and spot index are not linked by a no-arbitrage condition. We examine (a) whether predictability in the VIX index carries over to the futures market, and (b) whether there is...
Persistent link: https://www.econbiz.de/10012852388
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Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets
Aragon, George O. - 2018
The VIX index is not traded on the spot market. Hence, in contrast to other futures markets, the VIX futures contract and spot index are not linked by a no-arbitrage condition. We examine (a) whether predictability in the VIX index carries over to the futures market, and (b) whether there is...
Persistent link: https://www.econbiz.de/10012453142
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Conditioning variables and the cross section of stock returns
Ferson, Wayne E.; Harvey, Campbell R. - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1325-1360
Persistent link: https://www.econbiz.de/10001395766
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Sources of risk and expected returns in global equity markets
Ferson, Wayne E.; Harvey, Campbell R. - 1994
Persistent link: https://www.econbiz.de/10000881184
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Non-stationarity and stage-of-the-business-cycle effects in consumption-based asset pricing relations
Ferson, Wayne E. - In: Journal of financial economics 18 (1987) 1, pp. 127-146
Persistent link: https://www.econbiz.de/10001020461
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Conditioning variables and the cross-section of stock returns
Ferson, Wayne E.; Harvey, Campbell R. - 1999
Persistent link: https://www.econbiz.de/10001375822