𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Arbitrage and the Evaluation of Linear Factor Models in UK Stock Returns

✍ Scribed by Jonathan Fletcher


Book ID
109178322
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
211 KB
Volume
45
Category
Article
ISSN
0732-8516

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Month of the year effect and January eff
✍ Taufiq Choudhry πŸ“‚ Article πŸ“… 2001 πŸ› John Wiley and Sons 🌐 English βš– 101 KB πŸ‘ 1 views

## Abstract This paper investigates seasonal anomalies in the mean stock returns of Germany, the UK and the US during pre‐World War I (WWI) period. The anomalies studied are month of the year effect and the January effect. The empirical research is conducted using a non‐linear GARCH‐__t__ model, an

An econometric model of nonlinear dynami
✍ Massimo Guidolin; Professor Allan Timmermann πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 260 KB πŸ‘ 1 views

## Abstract This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two‐ or three‐state models capture the univariate dynamics in bond and stock returns, a more complicated four‐state mod