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Managed portfolio performance and transaction costs

Taylor, Nicholas - In: Applied economics letters 22 (2015) 4/6, pp. 272-280

Persistent link: https://www.econbiz.de/10010506781

Realized volatility forecasting in an international context

Taylor, Nicholas - In: Applied economics letters 22 (2015) 4/6, pp. 503-509

Persistent link: https://www.econbiz.de/10010510802

A formula for the economic value of return predictability

Taylor, Nicholas - In: The European journal of finance 19 (2013) 1/2, pp. 37-53

Persistent link: https://www.econbiz.de/10009733303

Testing for seasonal patterns in conditional return volatility : evidence from Asia-Pacific markets

Clare, Andrew D. - In: Applied financial economics 7 (1997) 5, pp. 517-523

Persistent link: https://www.econbiz.de/10001229835

Calculating the equity cost of capital using the APT : the impact of the ERM

Antoniou, Antonios; Garrett, Ian; Priestley, Richard - In: Journal of international money and finance 17 (1998) 6, pp. 949-965

Persistent link: https://www.econbiz.de/10001381763

Dividend growth, cash flow, and discount rate news

Garrett, Ian; Priestley, Richard - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 5, pp. 1003-1028

Persistent link: https://www.econbiz.de/10009709607

Dividend Growth, Cash Flow and Discount Rate News

Garrett, Ian - 2011

Using a new variable based on a model of dividend smoothing, we find dividend growth is highly predictable and cash flow news contributes importantly to return variability. Cash flow betas derived from this predictability are central to explaining the size effect in the cross section of returns....

Persistent link: https://www.econbiz.de/10013118990

Dynamic linkages across country yield curves : the effects of global and local yield curve factors on US, UK and GERMAN yields

Coroneo, Laura; Garrett, Ian; Sanhueza, Javier - In: New methods in fixed income modeling : fixed income modeling, (pp. 205-222). 2018

Persistent link: https://www.econbiz.de/10012011654

Regime-dependent effects of macroeconomic uncertainty on realized volatility in the US stock market

Liu, Wei; Garrett, Ian - In: Economic modelling 128 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014464307

Early exercise, implied volatility spread and future stock return : jumps bind them all

Garrett, Ian; Gazi, Adnan - In: The journal of futures markets 44 (2024) 5, pp. 720-743

Persistent link: https://www.econbiz.de/10014536677