Search Results

The Value Premium and Time-Varying Volatility

Authors: Li, Xiafei; Brooks, Chris; Miffre, Joëlle

Source: Journal of Business Finance & Accounting, Volume 36, Numbers 9-10, November/December 2009 , pp. 1252-1272(21)

Publisher: Blackwell Publishing

Modelling Regime-Specific Stock Price Volatility

Authors: Alexander, Carol; Lazar, Emese

Source: Oxford Bulletin of Economics and Statistics, Volume 71, Number 6, December 2009 , pp. 761-797(37)

Publisher: Blackwell Publishing

The Application of Cash-Flow-at-Risk to Risk Management in a Deregulated Electricity Market

Authors: Anderson, C. L.; Davison, Matt

Source: Human and Ecological Risk Assessment, Volume 15, Number 2, March 2009 , pp. 253-269(17)

Publisher: Taylor and Francis Ltd

Time-varying volatility and equity returns in Bangladesh stock market

Authors: Basher, Syed; Hassan, M. Kabir; Islam, Anisul

Source: Applied Financial Economics, Volume 17, Number 17, November 2007 , pp. 1393-1407(15)

Publisher: Routledge, part of the Taylor & Francis Group

Rational Pessimism, Rational Exuberance, and Asset Pricing Models

Authors: BANSAL, RAVI; GALLANT, A. RONALD; TAUCHEN, GEORGE

Source: The Review of Economic Studies, Volume 74, Number 4, October 2007 , pp. 1005-1033(29)

Publisher: Blackwell Publishing

Term Risk Premia in Shipping Markets: Reconciling the Evidence

Author: Wright, Graham

Source: Journal of Transport Economics and Policy (JTEP), Volume 41, Number 2, May 2007 , pp. 247-256(10)

Publisher: Journal of Transport Economics and Policy

Time-varying risk premia in American depository receipt returns

Author: Gregory, Richard P.

Source: Global Business and Economics Review, Volume 9, Number 1, 19 February 2007 , pp. 19-37(19)

Publisher: Inderscience Publishers

Currency Risk Premia in Global Stock Markets

Authors: Roache, Shaun K.; Merritt, Matthew D.

Source: IMF Working Papers, Currency Risk Premia in Global Stock Markets , pp. 1-27(27)

Publisher: International Monetary Fund

Macroeconomic risk influences on the property stock market

Authors: Liow, Kim Hiang; Ibrahim, Muhammad Faishal; Huang, Qiong

Source: Journal of Property Investment and Finance, Volume 24, Number 4, 2006 , pp. 295-323(29)

Publisher: Emerald Group Publishing Limited

THE INFORMATION CONTENT OF THE TERM STRUCTURE OF INTEREST RATES ABOUT FUTURE INFLATION—AN ILLUSTRATION OF THE IMPORTANCE OF ACCOUNTING FOR A TIME-VARYING REAL INTEREST RATE AND INFLATION RISK PREMIUM

Author: NIELSEN, CHRISTIAN MOSE

Source: The Manchester School, Volume 74, Supplement 1, September 2006 , pp. 93-115(23)

Publisher: Blackwell Publishing

Macroeconomic news effects on conditional volatilities in the bond and stock markets

Authors: Arshanapalli, Bala; d'Ouville, Edmond; Fabozzi, Frank; Switzer, Lorne

Source: Applied Financial Economics, Volume 16, Number 5, Number 5/1 March 2006 , pp. 377-384(8)

Publisher: Routledge, part of the Taylor & Francis Group

Co‐skewness and Co‐kurtosis in Global Real Estate Securities

Authors: Liow, Kim Hiang; Chan, Lanz

Source: Journal of Property Research, Volume 22, Numbers 2-3, -3/June-September 2005 , pp. 163-203(41)

Publisher: Routledge, part of the Taylor & Francis Group

The Association Between Market and Exchange Rate Risks and Accounting Variables: A GARCH Model of the Japanese Banking Institutions

Authors: Elyasiani, Elyas; Mansur, Iqbal

Source: Review of Quantitative Finance and Accounting, Volume 25, Number 2, September 2005 , pp. 183-206(24)

Publisher: Springer

Common risk factors and risk premia in direct and securitized real estate markets

Author: Sing, Tien Foo

Source: Journal of Property Research, Volume 21, Number 3, September 2004 , pp. 189-207(19)

Publisher: Routledge, part of the Taylor & Francis Group

Searching for the natural rate of interest: a euro area perspective

Authors: Jesús Cuaresma; Ernest Gnan; Doris Ritzberger-Gruenwald

Source: Empirica, Volume 31, Numbers 2-3, June 2004 , pp. 185-204(20)

Publisher: Springer

Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing

Authors: Michael J. Brennan; Ashley W. Wang; Yihong Xia

Source: The Journal of Finance, Volume 59, Number 4, August 2004 , pp. 1743-1776(34)

Publisher: Blackwell Publishing

The information content of interest rate futures and time-varying risk premia

Author: Sotiris K. Staikouras

Source: Applied Financial Economics, Volume 14, Number 11, July 1, 2004 , pp. 761-771(11)

Publisher: Routledge, part of the Taylor & Francis Group

Estimating time-varying risk premia in UK long-term government bonds

Author: James M. Steeley

Source: Applied Financial Economics, Volume 14, Number 5, 1 March 2004 , pp. 367-373(7)

Publisher: Routledge, part of the Taylor & Francis Group

Can currency risk be a source of risk premium in explaining forward premium puzzle? - Evidence from Asia-Pacific forward exchange markets

Author: Tai C.-S.

Source: Journal of International Financial Markets, Institutions & Money, Volume 13, Number 4, October 2003 , pp. 291-311(21)

Publisher: Elsevier

Idiosyncratic Risk Matters!

Authors: Goyal A.; Santa-Clara P.

Source: The Journal of Finance, Volume 58, Number 3, June 2003 , pp. 975-1008(34)

Publisher: Blackwell Publishing