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Empirical Finance: Modelling and Analysis of Emerging Financial and Stock Markets (Contributions to Economics) Sardar M. N. Islam, Sethapong.
Table of contents
- Empirical Finance
- Submission » DergiPark
- Modelling and Analysis of Emerging Financial and Stock Markets
Hentschel Journal of Financial Economics, 31 3 , — Chan, K. Petruccelli, S. Woolford and H. Tong A multiple threshold AR 1 model. Journal of Applied Probability, 22 2 , — Tong, On the use of the deterministic lyapunov function for the ergodicity of stochastic difference equations. Advances in Applied Probability, 17 3 , — On estimating thresholds in autoregressive models.
Journal of Time Sereries Analysis, 7, — Chen, S. An examination of risk-return relationship in bull and bear markets using time-varying betas. Journal of Financial and Quantitative Analysis, 17 02 , — Predicting the bear stock market: Macroeconomic variables as leading indicators. Crombez, J. Vennet Tijdschrift voor Economie en Management, 45, — De Santis, G. Imrohoroglu Journal of International Money and Finance, 16 4 , — Engle, R.
Econometrica, 50 4 , — Lilien and R. Robins Estimating time varying risk premia in the term structure: The arch-m model. Econometrica, 55 2 , — Fabozzi, F. Francis, Stability tests for alphas and betas over bull and bear market conditions. Journal of Finance, 32 4 , — Francis Journal of Financial and Quantitative Analysis, 13 01 , — A multivariate test of a dual-beta capm: Australian evidence. Financial Review, 36, — Franses, P. Dijk Cambridge University Press.
Submission » DergiPark
Schwertand R. Stambaugh Expected stock returns and volatility. Journal of Financial Economics, 19 1 , 3— Galagedera, D. Modeling the risk and return relation conditional on market volatility and market conditions. Glosten, L. Jagannathan and D. Runkle On the relattionship between the expected value and the volatility of the normal excess return on stocks.
source link Journal of Finance, 3, — Gonzalez-Rivera, G. Smooth-transition garch models. Granger, C.
Modelling and Analysis of Emerging Financial and Stock Markets
Silvapulle Capital asset pricing model, bear, usual and bull market conditions and beta instability: A value-at-risk approach. Hagerud, G. A smooth transition arch model for asset returns. Working Paper Series in Economics and Finance Stockholm School of Economics. Harvey, C. Predictable risk and returns in emerging markets. Review of Financial studies, 8 3 , — Howton, S. Peterson An examination of cross-sectional realized stock returns using a varying-risk beta model. The Financial Review, 33 3 , — Kim, M. Zumwalt An analysis of risk in bull and bear markets.
Journal of Financial and Quantitative Analysis, 14, — Kulp-Tag, S. Short-horizon asymmetric mean-reversion and overreactions: Evidence from the Nordic stock markets. Working Papers Hanken School of Economics.
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Kundu, S. Sarkar Return and volatility interdependences in up and down markets across developed and emerging countries. Your reader barcode: Your last name:. Cite this Email this Add to favourites Print this page. You must be logged in to Tag Records. Islam, Sethapong Watanapalachaikul. In the Library Request this item to view in the Library's reading rooms using your library card. Details Collect From NL Order a copy Copyright or permission restrictions may apply. We will contact you if necessary. To learn more about Copies Direct watch this short online video.
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