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Evaluating Stock Price Behavior after Events: An Application of the Self-Exciting Threshold Autoregressive Model.
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- Quarterly Journal of Finance & Accounting, 2009, v. 48, n. 2, p. 23
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- Publication type:
- Article
The Effect of Time-Varying Covariances on Asset Risk Premia.
- Published in:
- Review of Quantitative Finance & Accounting, 1996, v. 7, n. 2, p. 205, doi. 10.1007/BF00243979
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- Publication type:
- Article
Return Generating Processes of Long-Term Bonds and Measurement of Risk: Theory and Empirical Tests.
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- Review of Quantitative Finance & Accounting, 1995, v. 5, n. 3, p. 231, doi. 10.1007/BF01074839
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- Publication type:
- Article
Time-varying risk and return in the bond market: a test of a new equilibrium pricing model.
- Published in:
- Review of Financial Studies, 1999, v. 12, n. 3, doi. 10.1093/rfs/12.3.631
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- Publication type:
- Article