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Variances and covariances of international stock returns : the international CAPM revisited

Ramchand, Latha; Susmel, Raul - 1997

Persistent link: https://www.econbiz.de/10001486868

Variances and covariances of international stock returns : the international capital asset pricing model revisited

Ramchand, Latha - In: Journal of international financial markets, … 8 (1998) 1, pp. 39-57

Persistent link: https://www.econbiz.de/10001246202

Regime-switching stochastic volatility and short-term interest rates

Susmel, Raul; Kalimipalli, Madhu - 2001

Persistent link: https://www.econbiz.de/10001648586

Regime-switching stochastic volatility and short-term interest rates

Kalimipalli, Madhu; Susmel, Raul - In: Journal of empirical finance 11 (2004) 3, pp. 309-329

Persistent link: https://www.econbiz.de/10002050344

Price Discovery in Stock and Option Markets : A Portfolio Approach

Hwang, Jung - 2009

In this paper, we propose a new portfolio approach to estimate Hasbrouck's (1995) information share (IS), which measures the relative contribution of one market to the variance of an efficient stock return process. Using GMM, we are able to estimate optimal weights for a portfolio of options to...

Persistent link: https://www.econbiz.de/10013159779