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Deterministic versus stochastic volatility : implications for option pricing models

Brockman, Paul - In: Applied financial economics 7 (1997) 5, pp. 498-505

Persistent link: https://www.econbiz.de/10001229837

The relationship between US and Canadian wheat futures

Booth, G. Geoffrey - In: Applied financial economics 8 (1998) 1, pp. 73-80

Persistent link: https://www.econbiz.de/10001240660

An empirical investigation of trading on asymmetric information and heterogeneous prior beliefs

Brockman, Paul; Chung, Dennis Y. - In: Journal of empirical finance 7 (2000) 5, pp. 417-454

Persistent link: https://www.econbiz.de/10001545280

The inter-temporal behavior of informed and uninformed traders

Brockman, Paul; Chung, Dennis Y. - In: Review of quantitative finance and accounting 21 (2003) 3, pp. 251-265

Persistent link: https://www.econbiz.de/10001839844

The R&D-abnormal return anomaly : a transaction cost explanation

Brockman, Paul; Chung, Dennis Y.; Shaw, Ken W. - In: Review of quantitative finance and accounting 48 (2017) 2, pp. 385-406

Persistent link: https://www.econbiz.de/10011796634

Is idiosyncratic risk priced? : the international evidence

Brockman, Paul; Guo, Tao; Vivero, Maria Gabriela; Yu, Wayne - In: Journal of empirical finance 66 (2022), pp. 121-136

Persistent link: https://www.econbiz.de/10013370669

Time-to-maturity and commodity futures return volatility : the role of time-varying asymmetric information

Phan Hoang Long; Zurbruegg, Ralf; Brockman, Paul; Yu, … - In: Journal of commodity markets 26 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013450908

Is Idiosyncratic Risk Priced? The International Evidence

Brockman, Paul; Guo, Tao; Vivero, Maria G.; Yu, Wayne - 2020

We find a positive and significant relation between forecasted idiosyncratic volatility andreturns in a large international database covering 57 countries with over three million firmmonthobservations from July 1995 to June 2016. Our empirical results reveal substantialcross-country variation in...

Persistent link: https://www.econbiz.de/10014352439