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Predicting risk premium under changes in the conditional distribution of stock returns

Sousa, João; Sousa, Ricardo M. - In: Journal of international financial markets, … 50 (2017), pp. 204-218

Persistent link: https://www.econbiz.de/10011896275

On asymmetric market model with heteroskedasticity and quantile regression

Chen, Cathy W. S.; Li, Muyi; Nguyen, Nga T. H.; Songsak … - In: Computational economics 49 (2017) 1, pp. 155-174

Persistent link: https://www.econbiz.de/10011751821

Models for expected returns with statistical factors

Cueto, José Manuel; Grané, Aurea; Cascos, Ignacio - In: Journal of risk and financial management : JRFM 13 (2020) 12/314, pp. 1-17

In this paper, we propose multifactor models for the pan-European Equity Market using a block-bootstrap method and compare the results with those of traditional inferential techniques. The new factors are built from statistical measurements on stock prices - in particular, coefficient of...

Persistent link: https://www.econbiz.de/10012392578

Return prediction with time varying betas : a research in BIST

Akyatan, Ayca; Çetin, M. Koray - In: International journal of accounting and finance 10 (2020) 1, pp. 64-86

Persistent link: https://www.econbiz.de/10012504722

Coskewness and the short-term predictability for Bitcoin return

Chen, Yan; Liu, Yakun; Zhang, Feipeng - In: Technological forecasting and social change : an … 200 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10015121135

Inflation and stock returns, [part] II

Azar, Samih Antoine - In: International journal of economics and finance 6 (2014) 1, pp. 208-216

Persistent link: https://www.econbiz.de/10010237306

A Step Towards Demystifying High-Beta Stocks Asset Pricing Puzzles : A New Bootstrap Pricing Error Test for High-Beta Stocks Under Conditional Correlation and Heteroskedasticity

Grobys, Klaus - 2017

High-beta stocks seem to be an asset pricing mystery involving puzzles that have been intensively discussed in the most recent finance literature (Christoffersen and Simutin, 2017; Moreira and Muir, 2017). This papers derives novel implications for pricing high-beta stocks in the presence of dynamic...

Persistent link: https://www.econbiz.de/10012941317

Factor models of stock returns : GARCH errors versus time-varying betas

Koundouri, Phoebe; Kourogenis, Nikolaos; Pittis, Nikitas; … - In: Journal of forecasting 35 (2016) 5, pp. 445-461

Persistent link: https://www.econbiz.de/10011580985

Improved inference in financial factor models

Beck, Elliot; De Nard, Gianluca; Wolf, Michael - 2023

Conditional heteroskedasticity of the error terms is a common occurrence in financial factor models, such as the CAPM and Fama-French factor models. This feature necessitates the use of heteroskedasticity consistent (HC) standard errors to make valid inference for regression coefficients. In...

Persistent link: https://www.econbiz.de/10014232090

A conditionally heteroskedastic independent factor model with an application to financial stock returns

García-Ferrer, Antonio; González-Prieto, Ester; … - In: International journal of forecasting 28 (2012) 1, pp. 70-93

Persistent link: https://www.econbiz.de/10009582082