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A filtering process to remove the stochastic component from intraday seasonal volatility

Cho, Jang Hyung; Daigler, Robert T. - In: The journal of futures markets 34 (2014) 5, pp. 479-495

Persistent link: https://www.econbiz.de/10010370879

Extreme spillovers of VIX fear index to international equity markets

Massaporn Cheuathonghua; Chaiyuth Padungsaksawasdi; … - In: Financial markets and portfolio management 33 (2019) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10012018353

Alpha : Empirical Evidence of Mutual Fund Performance Under Different Economic Cycles and Over Fund Objectives

Fernandez, Giovanni - 2011

We use daily geometric mean returns to investigate abnormal returns in mutual funds by applying four well known models, namely the CAPM, three-moment CAPM, Fama and French (1993) three-factor and Carhart (1997) four-factor models under different economic cycles and over different fund...

Persistent link: https://www.econbiz.de/10013120441

Alpha : Empirical Evidence of Mutual Fund Performance under Different Economic Cycles and over Fund Objectives

Fernandez, Giovanni - 2011

Persistent link: https://www.econbiz.de/10013121150

Uncovered interest rate parity, carry trade, and country equity return differentials

Kanchanapoom, Termkiat; Padungsaksawasdi, Chaiyuth; … - In: Global economy journal : GEJ 18 (2018) 3, pp. 1-11

Persistent link: https://www.econbiz.de/10011897273

An empirical investigation of mutual fund performance in different economic cycles under alternative fund objectives

Fernandez, Giovanni; Padungsaksawasdi, Chaiyuth; … - In: The international journal of finance 27 (2015) 1, pp. 15-81

Persistent link: https://www.econbiz.de/10011691230