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Dynamics of equity factor returns and asset pricing

Stoyanov, Stoyan V.; Fabozzi, Francesco A. - In: Journal of financial econometrics 19 (2021) 1, pp. 178-201

Persistent link: https://www.econbiz.de/10012504326

Price limit bands, risk-return trade-offand asymmetric volatility : evidence fromTunisian Stock Exchange sectors

Mnari, Othman; Faouel, Bassma - In: Economics and business review 10 (2024) 3, pp. 142-162

Persistent link: https://www.econbiz.de/10015138229

Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables

Nonejad, Nima - In: Journal of empirical finance 70 (2023), pp. 91-122

Persistent link: https://www.econbiz.de/10014423619

Multivariate time-varying parameter modelling for stock markets

Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972

Persistent link: https://www.econbiz.de/10012616913

Is idiosyncratic volatility related to returns?evidence from a subset of firms with quality idiosyncratic volatility estimates

Bergbrant, Mikael; Kassa, Haimanot - In: Journal of banking & finance 127 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012821006

Analysis of stock markets risk spillover with copula models under the background of Chinese financial opening

Du, Jiangze; Chen, Xizhuo; Gong, Jincheng; Lin, Xiao; … - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3997-4019

Persistent link: https://www.econbiz.de/10014429264

Realized volatility, jump and beta : evidence from Canadian stock market

Gajurel, Dinesh; Chowdhury, Biplob - 2020

Persistent link: https://www.econbiz.de/10012317084

Are extreme returns priced in the stock market? : European evidence

Annaert, Jan; De Ceuster, Marc J.; Verstegen, Kurt - In: Journal of banking & finance 37 (2013) 9, pp. 3401-3411

Persistent link: https://www.econbiz.de/10010126415

Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10011523781

Time variation in systematic risk, returns and trading volume : evidence from precious metals mining stocks

Ciner, Cetin - In: International review of financial analysis 41 (2015), pp. 277-283

Persistent link: https://www.econbiz.de/10011508966