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Overreaction of country ETFs to US market returns : intraday vs. daily horizons and the role of synchronized trading

Levy, Ariel; Lieberman, Offer - In: Journal of banking & finance 37 (2013) 5, pp. 1412-1421

Persistent link: https://www.econbiz.de/10009729094

LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices

Ginker, Tim; Lieberman, Offer - In: The econometrics journal 24 (2021) 1, pp. 58-82

Persistent link: https://www.econbiz.de/10012504449

Market time and asset price movements : theory and estimation

Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1995

Persistent link: https://www.econbiz.de/10001512798

Stochastic volatility and time deformation : an application of trading volume and leverage effects

Ghysels, Eric; Jasiak, Joann - 1994

Persistent link: https://www.econbiz.de/10000898668

Rolling-sample volatility estimators : some new theoretical, simulation, and empirical results

Andreou, Elena; Ghysels, Eric - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 363-376

Persistent link: https://www.econbiz.de/10001695282

Detecting multiple breaks in financial market volatility dynamics

Andreou, Elena; Ghysels, Eric - In: Journal of applied econometrics 17 (2002) 5, pp. 579-600

Persistent link: https://www.econbiz.de/10001709317

There is a risk-return tradeoff after all

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen I. - 2004

Persistent link: https://www.econbiz.de/10002482316

There is a risk-return trade-off after all

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen I. - In: Journal of financial economics 76 (2005) 3, pp. 509-548

Persistent link: https://www.econbiz.de/10002878247

Momentum Trading, Return Chasing and Predictable Crashes

Chabot, Benjamin Remy - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies — momentum. We find that momentum has earned abnormally high risk-adjusted returns — a...

Persistent link: https://www.econbiz.de/10013040026

Momentum Trading, Return Chasing, and Predictable Crashes

Chabot, Benjamin Remy - 2014

Persistent link: https://www.econbiz.de/10013040544