Works matching IS 14798409 AND DT 2021 AND VI 19 AND IP 1

Results: 7

On the Autocorrelation of the Stock Market.

Published in:

Journal of Financial Econometrics, 2021, v. 19, n. 1, p. 39, doi. 10.1093/jjfinec/nbaa033

By:

Martin, Ian

Publication type:

Article

Dynamic Global Currency Hedging.

Published in:

Journal of Financial Econometrics, 2021, v. 19, n. 1, p. 97, doi. 10.1093/jjfinec/nbaa030

By:

Christensen, Bent Jesper;
Varneskov, Rasmus Tangsgaard

Publication type:

Article

Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures.

Published in:

Journal of Financial Econometrics, 2021, v. 19, n. 1, p. 202, doi. 10.1093/jjfinec/nbaa026

By:

Inoue, Atsushi;
Jin, Lu;
Pelletier, Denis

Publication type:

Article

Regulatory Capital and Incentives for Risk Model Choice under Basel 3.

Published in:

Journal of Financial Econometrics, 2021, v. 19, n. 1, p. 53, doi. 10.1093/jjfinec/nbaa029

By:

Liu, Fred;
Stentoft, Lars

Publication type:

Article

News and Idiosyncratic Volatility: The Public Information Processing Hypothesis.

Published in:

Journal of Financial Econometrics, 2021, v. 19, n. 1, p. 1, doi. 10.1093/jjfinec/nbaa038

By:

Engle, Robert F;
Hansen, Martin Klint;
Karagozoglu, Ahmet K;
Lunde, Asger

Publication type:

Article

A Descriptive Study of High-Frequency Trade and Quote Option Data.

Published in:

Journal of Financial Econometrics, 2021, v. 19, n. 1, p. 128, doi. 10.1093/jjfinec/nbaa036

By:

Andersen, Torben;
Archakov, Ilya;
Grund, Leon;
Hautsch, Nikolaus;
Li, Yifan;
Nasekin, Sergey;
Nolte, Ingmar;
Pham, Manh Cuong;
Taylor, Stephen;
Todorov, Viktor

Publication type:

Article

Dynamics of Equity Factor Returns and Asset Pricing.

Published in:

Journal of Financial Econometrics, 2021, v. 19, n. 1, p. 178, doi. 10.1093/jjfinec/nbaa031

By:

Stoyanov, Stoyan V;
Fabozzi, Francesco A

Publication type:

Article