Similar Search Results

Measuring risk aversion from exess returns on a stock index

Chou, Ray Yeutien; Engle, Robert F.; Kane, Alex - 1991

Persistent link: https://www.econbiz.de/10000811503

Hedging options in a GARCH environment : testing the term structure of stochastic volatility models

Engle, Robert F.; Rosenberg, Joshua V. - 1994

Persistent link: https://www.econbiz.de/10000904203

Asset pricing with a factor-ARCH covariance structure : empirical estimates for treasury bills

Engle, Robert F. - In: Journal of econometrics 45 (1990) 1, pp. 213-237

Persistent link: https://www.econbiz.de/10001332074

A capital asset pricing model with time-varying covariances

Bollerslev, Tim - In: Journal of political economy 96 (1988) 1, pp. 116-131

Persistent link: https://www.econbiz.de/10001056221

Hedging options in GARCH environment : testing the term structure of stochastic volatility models

Engle, Robert F.; Rosenberg, Joshua V. - 1994

Persistent link: https://www.econbiz.de/10000147446

Option hedging using empirical pricing kernels

Rosenberg, Joshua V.; Engle, Robert F. - 1997

Persistent link: https://www.econbiz.de/10000643460

ARCH models in finance

Engle, Robert F. (contributor) - In: Journal of econometrics 52 (1992) 1, pp. 1-311

Persistent link: https://www.econbiz.de/10001121076

Risk and volatility : econometric models and financial practice

Engle, Robert F. - In: The American economic review 94 (2004) 3, pp. 405-420

Persistent link: https://www.econbiz.de/10002168487

The intertemporal capital asset pricing model with dynamic conditional correlations

Bali, Turan G.; Engle, Robert F. - In: Journal of monetary economics 57 (2010) 4, pp. 377-390

Persistent link: https://www.econbiz.de/10008666431

Dynamic conditional beta is alive and well in the cross-section of daily stock returns

Bali, Turan G.; Engle, Robert F.; Tang, Yi - 2013 - This draft: October 8, 2012

This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of daily stock returns. Portfolio-level analyses and...

Persistent link: https://www.econbiz.de/10009710605