𝔖 Bobbio Scriptorium
✦   LIBER   ✦

International Asset Excess Returns and Multivariate Conditional Volatilities

✍ Scribed by Thomas C. Chiang; Sheng-Yung Yang

Book ID
106516153
Publisher
Springer US
Year
2005
Tongue
English
Weight
190 KB
Volume
24
Category
Article
ISSN
0924-865X

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Dynamic density forecasts for multivaria
Dynamic density forecasts for multivariate asset returns
✍ Arnold Polanski; Evarist Stoja 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 414 KB

We propose a simple and fl exible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time-varying) non-central co-moments of assets. We estimate the coefficients of the polynomial via the method of moments for a carefully sel

Multivariate EGARCHX-modelling of the in
Multivariate EGARCHX-modelling of the international asset return signal response mechanism
✍ Ralf Östermark; Rune Höglund 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 367 KB

The integration of national ®nancial economies, enhanced by loosening capital control, has motivated the study of co-movements between markets. In this paper we use a variant of the multivariate EGARCH method, due to Koutmos and Booth, to study the impact of the Japanese stock prices on the Finnish

The conditional relationship between bet
The conditional relationship between beta and returns: recent evidence from international stock markets
✍ Gordon Y.N. Tang; Wai C. Shum 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 93 KB

The risk-return relationship is one of the fundamental concepts in finance that is most important to investors and portfolio managers. Finance theory argues that the beta or systematic risk is the only relevant risk measure for investors. However, many studies have showed that betas and returns are

Tests of the conditional asset pricing m
Tests of the conditional asset pricing model: further evidence from the cross-section of stock returns
✍ Stuart Hyde; Mohamed Sherif 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 145 KB 👁 1 views

## Abstract We analyse the ability of the conditional asset pricing models to explain the cross‐sectional variation in UK stock returns. We examine conditional versions of the Sharpe‐Linter CAPM and the Fama‐French three‐factor model. The results indicate that the conditional single‐factor model is