Similar Search Results

Conditional relation between systematic risk and returns in the conventional and downside frameworks : evidence from the Indonesian market

Nurjannah; Galagedera, Don U. A.; Brooks, Robert - In: Journal of emerging market finance 11 (2012) 3, pp. 271-300

Persistent link: https://www.econbiz.de/10010380791

Factor high-frequency based volatility (HEAVY) models

Sheppard, Kevin; Xu, Wen - 2014

Persistent link: https://www.econbiz.de/10010365630

The state-dependent time variation in the value premium

Sharaiha, Yazid M.; Johansson, Kristoffer Kittilsen - In: The journal of asset management 15 (2014) 2, pp. 150-161

Persistent link: https://www.econbiz.de/10010384768

Estimating time-varying currency betas with contagion : new evidence from developed and emerging financial markets

Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Japan and the world economy : international journal of … 30 (2014), pp. 10-24

Persistent link: https://www.econbiz.de/10010462927

Large and small cap stocks in Europe : covariance asymmetry, volatility spillovers and beta estimates

Chuliá, Helena; Torró, Hipòlit - In: Advances in risk management, (pp. 327-352). 2007

Persistent link: https://www.econbiz.de/10003401630

Bond risk, bond return volatility, and the term structure of interest rates

Viceira, Luis M. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003501713

Continuous and jump betas : implications for portfolio diversification

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and … beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 …

Persistent link: https://www.econbiz.de/10011506397

Are global systematic risk and country-specific idiosyncratic risk priced in the integrated world markets

Hueng, C. James - In: International review of economics & finance : IREF 33 (2014), pp. 28-38

Persistent link: https://www.econbiz.de/10010531290

Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model

Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119

Persistent link: https://www.econbiz.de/10011333691

Testing models of the measuring performance of mutual fund based on single and dual beta

Paramita, V. Santi; Djulius, Horas; Gunardi, Ardi; … - In: International journal of economic policy in emerging … 11 (2018) 1/2, pp. 26-39

Persistent link: https://www.econbiz.de/10011860957

A service of the

zbw