Similar Search Results

Robust estimation of the simplified multivariate GARCH model

Iqbal, Farhat - In: Empirical economics : a journal of the Institute for … 44 (2013) 3, pp. 1353-1372

Persistent link: https://www.econbiz.de/10009749477

Time-varying beta risk, volatility persistence and the asymmetric impact of news : evidence from industry portfolios

Koutmos, Dimitrios - In: Global business & economics review 13 (2011) 1, pp. 42-56

Persistent link: https://www.econbiz.de/10009126431

Is there a positive risk-return tradeoff? : a forward-looking approach to measuring the equity premium

Koutmos, Dimitrios - In: European financial management : the journal of the … 21 (2015) 5, pp. 974-1013

Persistent link: https://www.econbiz.de/10011408549

Bitcoin returns and transaction activity

Koutmos, Dimitrios - In: Economics letters 167 (2018), pp. 81-85

Persistent link: https://www.econbiz.de/10012015794

Return and volatility spillovers among cryptocurrencies

Koutmos, Dimitrios - In: Economics letters 173 (2018), pp. 122-127

Persistent link: https://www.econbiz.de/10012022954

Efficient Bootstrap Forecast Intervals for Return and Volatility Using the Linear Estimator of Arch Models

Iqbal, Farhat - 2020

In this paper, we construct efficient forecast intervals for autoregressive conditional heteroscedastic (ARCH) models using the bootstrap. Forecast intervals for returns and volatility are constructed using the linear estimator (LE) for ARCH model. An advantage of LE over the widely used quasi...

Persistent link: https://www.econbiz.de/10012856558

Shareholder activism and equity price reactions

King, Timothy; Bozos, Konstantinos; Koutmos, Dimitrios - In: Economics letters 160 (2017), pp. 100-104

Persistent link: https://www.econbiz.de/10011903814

In search of winning mutual funds in the Chinese stock market

Koutmos, Dimitrios; Wu, Bochen; Zhang, Qi - In: Review of quantitative finance and accounting 54 (2020) 2, pp. 589-616

Persistent link: https://www.econbiz.de/10012232880

Higher co-moment CAPM and hedge fund returns

Knif, Johan; Koutmos, Dimitrios; Koutmos, Gregory - In: Atlantic economic journal : AEJ 48 (2020) 1, pp. 99-113

Persistent link: https://www.econbiz.de/10012222460

The timing of new corporate debt issues and the risk-return tradeoff

Koutmos, Dimitrios; Bozos, Konstantinos; Dionysiou, Dionysia - In: Review of quantitative finance and accounting 50 (2018) 4, pp. 943-978

Persistent link: https://www.econbiz.de/10011979340