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The Black-Litterman model : the definition of views based on volatility forecasts

Duqi, Andi; Franci, Leonardo; Torluccio, Giuseppe - In: Applied financial economics 24 (2014) 19/21, pp. 1285-1296

Persistent link: https://www.econbiz.de/10010460181

Idiosyncratic volatility and stock returns : a cross country analysis

Pukthuanthong, Kuntara; Visaltanachoti, Nuttawat - In: Applied financial economics 19 (2009) 16/18, pp. 1269-1281

Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential...

Persistent link: https://www.econbiz.de/10003886161

Implied risk aversion and volatility risk premiums

Yoon, Sun-joong; Byun, Suk Joon - In: Applied financial economics 22 (2012) 1/3, pp. 59-70

Persistent link: https://www.econbiz.de/10009419575

Investor perceptions and volatility within a risk-return framework

Berger, Dave - In: Applied financial economics 20 (2010) 13/15, pp. 1003-1010

Persistent link: https://www.econbiz.de/10009010335

Time variation of CAPM betas across market volatility regimes

Abdymomunov, Azamat; Morley, James C. - In: Applied financial economics 21 (2011) 19/21, pp. 1463-1478

Persistent link: https://www.econbiz.de/10009356092

Time-varying betas of sectoral returns to market returns and exchange rate movements

Karlsson, Hyunjoo Kim; Hacker, Scott - In: Applied financial economics 23 (2013) 13/15, pp. 1155-1168

Persistent link: https://www.econbiz.de/10010204788

Extreme returns in emerging stock markets : evidence of a MAX effect in South Korea

Nartea, Gilbert V.; Wu, Ji; Liu, Hong Tao - In: Applied financial economics 24 (2014) 4/6, pp. 425-435

Persistent link: https://www.econbiz.de/10010401960

Dynamic interaction and valuation of quality yen Eurobonds in a multivariate EGARCH framework

Batten, Jonathan A.; In, Francis Haeuck - In: Applied financial economics 16 (2006) 12, pp. 881-892

Persistent link: https://www.econbiz.de/10003377842

Empirical tests of short-term interest rate models : a nonparametric approach

Niizeki, Mikiyo Kii - In: Applied financial economics 8 (1998) 4, pp. 347-352

Persistent link: https://www.econbiz.de/10001363502

A comparison of short-term interest rate models : empirical tests of interest rate volatility

Niizeki, Mikiyo Kii - In: Applied financial economics 8 (1998) 5, pp. 505-512

Persistent link: https://www.econbiz.de/10001363824

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