Similar Search Results

Switching volatility in private international equity markets

Susmel, Raul - In: International journal of finance & economics : IJFE 5 (2000) 4, pp. 265-283

Persistent link: https://www.econbiz.de/10001539840

Variances and covariances of international stock returns : the international CAPM revisited

Ramchand, Latha; Susmel, Raul - 1997

Persistent link: https://www.econbiz.de/10001486868

Hourly volatility spillovers between international equity markets

Susmel, Raul; Engle, Robert F. - 1992

Persistent link: https://www.econbiz.de/10000841632

Variances and covariances of international stock returns : the international capital asset pricing model revisited

Ramchand, Latha - In: Journal of international financial markets, … 8 (1998) 1, pp. 39-57

Persistent link: https://www.econbiz.de/10001246202

Hourly volatility spillovers between international equity markets

Susmel, Raul - In: Journal of international money and finance 13 (1994) 1, pp. 3-25

Persistent link: https://www.econbiz.de/10001156395

Autoregressive conditional heteroskedasticity and changes in regime

Hamilton, James D. - In: Journal of econometrics 64 (1994) 1, pp. 307-333

Persistent link: https://www.econbiz.de/10001166423

Regime-switching stochastic volatility and short-term interest rates

Susmel, Raul; Kalimipalli, Madhu - 2001

Persistent link: https://www.econbiz.de/10001648586

Regime-switching stochastic volatility and short-term interest rates

Kalimipalli, Madhu; Susmel, Raul - In: Journal of empirical finance 11 (2004) 3, pp. 309-329

Persistent link: https://www.econbiz.de/10002050344

Price Discovery in Stock and Option Markets : A Portfolio Approach

Hwang, Jung - 2009

In this paper, we propose a new portfolio approach to estimate Hasbrouck's (1995) information share (IS), which measures the relative contribution of one market to the variance of an efficient stock return process. Using GMM, we are able to estimate optimal weights for a portfolio of options to...

Persistent link: https://www.econbiz.de/10013159779