Similar Search Results

Portfolio diversification and excess comovement in commodity prices

Garrett, Ian; Taylor, Nicholas - In: The Manchester School 69 (2001) 4, pp. 351-368

Persistent link: https://www.econbiz.de/10001601622

The economic value of volatility forecasts : a conditional approach

Taylor, Nicholas - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 433-478

Persistent link: https://www.econbiz.de/10010391951

Winter blues and time variation in the price of risk

Garrett, Ian; Kamstra, Mark; Kramer, Lisa - 2004

Previous research has documented robust links between seasonal variation in length of day, seasonal depression (known as seasonal affective disorder, or SAD), risk aversion, and stock market returns. The influence of SAD on market returns, known as the SAD effect, is large. The authors study the...

Persistent link: https://www.econbiz.de/10010397599

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

Return predictability in emerging equity markets

Garrett, Ian; Spyrou, Spyros - In: Ekonomia : the journal of the Cyprus Economic Society 2 (1998) 2, pp. 135-144

Persistent link: https://www.econbiz.de/10001353477

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

An alternative approach to investigating lead-lag relationships between stock and stock index futures markets

Brooks, Chris; Garrett, Ian; Hinich, Melvin J. - In: Applied financial economics 9 (1999) 6, pp. 605-613

Persistent link: https://www.econbiz.de/10001525291

Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?

Brooks, Chris; Garrett, Ian - In: Applied financial economics 12 (2002) 1, pp. 25-31

Persistent link: https://www.econbiz.de/10001646093

Winter blues and time variation in the price of risk

Garrett, Ian; Kamstra, Mark J.; Kramer, Lisa A. - In: Journal of empirical finance 12 (2005) 2, pp. 291-316

Persistent link: https://www.econbiz.de/10002685123

Winter blues and time variation in the price of risk

Garrett, Ian (contributor); Kamstra, Mark J. (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002572427