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Estimation of VaR with bias-corrected forecasts of conditional volatility

Harris, Richard D. F.; Shen, Jian - In: The journal of derivatives : the official publication … 11 (2004) 4, pp. 10-20

Persistent link: https://www.econbiz.de/10002108829

Robust estimation of the optimal hedge ratio

Harris, Richard D. F.; Shen, Jian - In: The journal of futures markets 23 (2002) 8, pp. 799-816

Persistent link: https://www.econbiz.de/10001780635

The rational expectations hypothesis and the cross-section of bond yields

Harris, Richard D. F. - In: Applied financial economics 14 (2004) 2, pp. 105-112

Persistent link: https://www.econbiz.de/10001909669

A test of the expectations hypothesis of the term structure using cross-section data

Harris, Richard D. F. - 1998

Persistent link: https://www.econbiz.de/10000998641

Why does the ratio of book to market value of equity explain cross-section stock returns?

Bulkley, George; Harris, Richard D. F. - 1996

Persistent link: https://www.econbiz.de/10000943015

The guilt-equity yield ratio and the predictability of UK and US equity returns

Harris, Richard D. F.; Sanchez-Valle, René - 1998

Persistent link: https://www.econbiz.de/10000998646

Comparison of the 'turn-of-the-month' and lunar new year return effects in three Chinese markets : Hong Kong, Shanghai and Shenzhen

McGuinness, Paul B.; Harris, Richard D. F. - In: Applied financial economics 21 (2011) 13/15, pp. 917-929

Persistent link: https://www.econbiz.de/10009317460

Extreme downside risk and financial crises

Harris, Richard D. F.; Nguyen, Linh H.; Stoja, Evarist - 2015

Persistent link: https://www.econbiz.de/10011402719

Financial market volatility, macroeconomic fundamentals and investor sentiment

Chiu, Ching Wai Jeremy; Harris, Richard D. F.; Stoja, … - 2016

Persistent link: https://www.econbiz.de/10011557381

Average Tail Risk and Aggregate Stock Returns

Dai, Yingtong; Harris, Richard D. F. - 2022

We investigate the role of the average risk across stocks in predicting subsequent mar- ket returns using measures of risk that capture the higher moments of the return distribution including variance, skewness and kurtosis, as well as measures of tail risk that combine these. We find that...

Persistent link: https://www.econbiz.de/10013403424