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Markov-switching and stochastic volatility diffusion models of short-term interest rates

Smith, Daniel R. - 2000

Persistent link: https://www.econbiz.de/10001487318

Markov-switching and stochastic volatility diffusion models of short-term interest rates

Smith, Daniel R. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 2, pp. 183-197

Persistent link: https://www.econbiz.de/10001660372

Asymmetry in stochastic volatility models : threshold or correlation?

Smith, Daniel R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 3, pp. 1-34

Persistent link: https://www.econbiz.de/10009513579

A further note on the three phases of US business cycle

Layton, Allan P.; Smith, Daniel R. - In: Applied economics 32 (2000) 9, pp. 1133-1143

Persistent link: https://www.econbiz.de/10001496452

The effect of dividend imputation on corporate dividend policy

Smith, Daniel R. - 1996

Persistent link: https://www.econbiz.de/10000960945

Conditional Asset Pricing and Momentum

Huynh, Thanh - 2014

Winner stocks have higher risk exposure to Fama and French's (1993) three factors (FF3F) than loser stocks during good economic times, and therefore should earn higher expected returns. Employing the conditional FF3F model to risk adjust returns on winner and loser stocks can reduce the average...

Persistent link: https://www.econbiz.de/10013065594