Similar Search Results - EconBiz

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

Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification

Antypas, Antonios - 2019

We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...

Persistent link: https://www.econbiz.de/10012857914

Estimation of conditional asset pricing models with integrated variables in the beta specification

Antypas, Antonios; Caporale, Guglielmo Maria; … - In: Research in international business and finance 52 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012548351

Estimation of conditional asset pricing models with integrated variables in the beta specification

Antypas, Antonios; Caporale, Guglielmo Maria; … - 2019

We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...

Persistent link: https://www.econbiz.de/10012138849

Unit root testing using covariates : some theory and evidence

Caporale, Guglielmo Maria; Pittis, Nikitas - In: Oxford bulletin of economics and statistics 61 (1999) 4, pp. 583-595

Persistent link: https://www.econbiz.de/10001437434

Pricing and product market structures in open economies : an empirical test

Alogoskouphēs, Giōrgos; Martin, Christopher Ian; … - 1991

Persistent link: https://www.econbiz.de/10000803996

Testing for PPP and UIP in FIML framework : some evidence for Germany and Japan

Caporale, Guglielmo Maria; Kalyvitēs, Sarantēs; … - 1995

Persistent link: https://www.econbiz.de/10000919425

Conditional leptokurtosis and non-linear dependence in exchange rate returns

Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - 1994

Persistent link: https://www.econbiz.de/10000897287

Domestic and external factors in interest rate determination

Caporale, Guglielmo Maria; Pittis, Nikitas - 1994

Persistent link: https://www.econbiz.de/10000899880

Causality inference in bivariate and trivariate systems : some more results

Caporale, Guglielmo Maria; Pittis, Nikitas - 1995

Persistent link: https://www.econbiz.de/10000909156

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