-
1
-
-
38249018319
-
A multivariate generalized arch approach to modelling risk premia in forward foreign exchange rate market
-
Baillie, R.T., and T. Bollerslev. "A Multivariate Generalized ARCH Approach to Modelling Risk Premia in Forward Foreign Exchange Rate Market." Journal of International Money and Finance, 9 (1990), pp. 309-324.
-
(1990)
Journal of International Money and Finance
, vol.9
, pp. 309-324
-
-
Baillie, R.T.1
Bollerslev, T.2
-
2
-
-
85021297117
-
Has greenspan given the green light to buying bonds with borrowed money?
-
February 27
-
Barry, A. "Has Greenspan Given the Green Light to Buying Bonds with Borrowed Money?" Barron's, February 27, 1995, p. 9.
-
(1995)
Barron's
, pp. 9
-
-
Barry, A.1
-
4
-
-
42449156579
-
Generalized autoregressive conditional heteroskedasticity
-
Bollerslev, T. "Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics, 31 (1986), pp. 307-327.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
5
-
-
0344839169
-
Stock returns and the term structure
-
Campbell, J. "Stock Returns and the Term Structure." Journal of Financial Economics, 18 (1987), pp. 373-399.
-
(1987)
Journal of Financial Economics
, vol.18
, pp. 373-399
-
-
Campbell, J.1
-
6
-
-
0002327555
-
Asymmetric predictability of conditional variance
-
Conrad, J., and G. Kaul. "Asymmetric Predictability of Conditional Variance." Review of Financial Studies, 4 (1991), pp. 597-622.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 597-622
-
-
Conrad, J.1
Kaul, G.2
-
7
-
-
84993869085
-
On cointegration and exchange rate dynamics
-
Diebold, F.X., J. Gardeazabal, and K. Yilmaz. "On Cointegration and Exchange Rate Dynamics." Journal of Finance, 49 (1994), pp. 727-735.
-
(1994)
Journal of Finance
, vol.49
, pp. 727-735
-
-
Diebold, F.X.1
Gardeazabal, J.2
Yilmaz, K.3
-
8
-
-
0000051984
-
Autoregressive conditional heteroskedasticity and estimates of the variance of u.k. Inflation
-
Engle, R.F. "Autoregressive Conditional Heteroskedasticity and Estimates of the Variance of U.K. Inflation." Econometrica, 50 (1982), pp. 987-1008.
-
(1982)
Econometrica
, vol.50
, pp. 987-1008
-
-
Engle, R.F.1
-
9
-
-
0000013567
-
Co-integration and error correction: Representation, estimation, and testing
-
Engle, R.F., and C.W.J. Granger. "Co-integration and Error Correction: Representation, Estimation, and Testing." Econometrica, 55 (1987), pp. 251-276.
-
(1987)
Econometrica
, vol.55
, pp. 251-276
-
-
Engle, R.F.1
Granger, C.W.J.2
-
10
-
-
0001264648
-
Estimating time varying risk premia in the term structure: The arch-m model
-
Engle, R.F., D.M. Lilien, and R.P. Robins. "Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model." Econometrica, 55 (1987), pp. 391-407.
-
(1987)
Econometrica
, vol.55
, pp. 391-407
-
-
Engle, R.F.1
Lilien, D.M.2
Robins, R.P.3
-
11
-
-
84993924525
-
Measuring and testing the impact of news on volatility
-
Engle, R.F., and V.K. Ng. "Measuring and Testing the Impact of News on Volatility." Journal of Finance, 48 (1993), pp. 1749-1778.
-
(1993)
Journal of Finance
, vol.48
, pp. 1749-1778
-
-
Engle, R.F.1
Ng, V.K.2
-
12
-
-
45149140983
-
Asset pricing with a factor-Arch co-variance structure: Empirical estimates for treasury bills
-
Engle, R.F., V.K. Ng, and M. Rothschild. "Asset Pricing with a Factor-ARCH Co-variance Structure: Empirical Estimates for Treasury Bills." Journal of Econometrics, 45 (1990), pp. 213-238.
-
(1990)
Journal of Econometrics
, vol.45
, pp. 213-238
-
-
Engle, R.F.1
Ng, V.K.2
Rothschild, M.3
-
13
-
-
0001427588
-
Dominant and satellite markets: A study of dually-traded securities
-
Garbade, K.D., and W.L. Silber. "Dominant and Satellite Markets: A Study of Dually-Traded Securities." Review of Economics and Statistics, 61 (1979), pp. 455-460.
-
(1979)
Review of Economics and Statistics
, vol.61
, pp. 455-460
-
-
Garbade, K.D.1
Silber, W.L.2
-
14
-
-
0000313261
-
Price movements and price discovery in futures and cash markets
-
Garbade, K.D., and W.L. Silber. "Price Movements and Price Discovery in Futures and Cash Markets." Review of Economics and Statistics, 65 (1983), pp. 289-297.
-
(1983)
Review of Economics and Statistics
, vol.65
, pp. 289-297
-
-
Garbade, K.D.1
Silber, W.L.2
-
15
-
-
84993601065
-
On the relation between the expected value and the volatility of the nominal excess return on stocks
-
Glosten, L.R., R. Jagannathan, and D. Runkle. "On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks." Journal of Finance, 48 (1993), pp. 1779-1801.
-
(1993)
Journal of Finance
, vol.48
, pp. 1779-1801
-
-
Glosten, L.R.1
Jagannathan, R.2
Runkle, D.3
-
16
-
-
0001698432
-
Correlations in price changes and volatility across international stock markets
-
Hamao, Y., R.W. Masulis, and V. Ng. "Correlations in Price Changes and Volatility Across International Stock Markets." Review of Financial Studies, 3 (1990), pp. 281-308.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 281-308
-
-
Hamao, Y.1
Masulis, R.W.2
Ng, V.3
-
17
-
-
84974326025
-
Cointegration, error correction, and price discovery on informationally linked security markets
-
Harris, F.H., T.H. McInish, G.L. Shoesmith, and R.A. Wood. "Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets." Journal of Financial and Quantitative Analysis, 30 (1995), pp. 563-579.
-
(1995)
Journal of Financial and Quantitative Analysis
, vol.30
, pp. 563-579
-
-
Harris, F.H.1
McInish, T.H.2
Shoesmith, G.L.3
Wood, R.A.4
-
18
-
-
84993849369
-
One security, many markets: Determining the contribution to price discovery
-
Hasbrouck, J. "One Security, Many Markets: Determining the Contribution to Price Discovery." Journal of Finance, 50 (1995), pp. 1175-1199.
-
(1995)
Journal of Finance
, vol.50
, pp. 1175-1199
-
-
Hasbrouck, J.1
-
19
-
-
0000605911
-
Testing for nonlinear dependence in exchange rate changes
-
Hsieh, D.A. "Testing for Nonlinear Dependence in Exchange Rate Changes." Journal of Business, 62 (1989), pp. 339-368.
-
(1989)
Journal of Business
, vol.62
, pp. 339-368
-
-
Hsieh, D.A.1
-
20
-
-
84981579311
-
Maximum likelihood estimation and inference on cointegration-with applications to the demand for money
-
Johansen, S., and K. Juselius. "Maximum Likelihood Estimation and Inference on Cointegration-With Applications to the Demand for Money." Oxford Bulletin of Economics and Statistics, 52 (1990), pp. 169-210.
-
(1990)
Oxford Bulletin of Economics and Statistics
, vol.52
, pp. 169-210
-
-
Johansen, S.1
Juselius, K.2
-
21
-
-
85021292600
-
1991-92 Market Update
-
in K.R. Kapner and J.F. Marshall, eds. New York: New York Institute of Finance
-
Kapner, K.R., and J.F. Marshall. "1991-92 Market Update," in K.R. Kapner and J.F. Marshall, eds., The Swaps Handbook: 1991-1992 Supplement. New York: New York Institute of Finance, 1992.
-
(1992)
The Swaps Handbook: 1991-1992 Supplement
-
-
Kapner, K.R.1
Marshall, J.F.2
-
22
-
-
0010798257
-
Why do markets move together? An investigation of us-Japan stock return comovements
-
Karolyi, G.A., and R.M. Stulz. "Why Do Markets Move Together? An Investigation of US-Japan Stock Return Comovements." Journal of Finance, 51 (1996), pp. 951-986.
-
(1996)
Journal of Finance
, vol.51
, pp. 951-986
-
-
Karolyi, G.A.1
Stulz, R.M.2
-
23
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle, A.S. "Continuous Auctions and Insider Trading." Econometrica, 53 (1985), pp. 1315-1336.
-
(1985)
Econometrica
, vol.53
, pp. 1315-1336
-
-
Kyle, A.S.1
-
24
-
-
84993915177
-
Mean reversion of standard & poor's 500 index basis change: Arbitrage induced or statistical illusion?
-
Miller, M.H., J. Muthuswamy, and R.E. Whaley. "Mean Reversion of Standard & Poor's 500 Index Basis Change: Arbitrage Induced or Statistical Illusion?" Journal of Finance, 49 (1994), pp. 479-513.
-
(1994)
Journal of Finance
, vol.49
, pp. 479-513
-
-
Miller, M.H.1
Muthuswamy, J.2
Whaley, R.E.3
-
26
-
-
0003244064
-
Comparing the performance of stock exchange trading systems
-
in J. Fingleton and D. Schoenmaker, eds.. London: Graham and Trotman
-
Roell, A. "Comparing the Performance of Stock Exchange Trading Systems," in J. Fingleton and D. Schoenmaker, eds., The Internationalization of Capital Markets and the Regulatory Response. London: Graham and Trotman, 1992.
-
(1992)
The Internationalization of Capital Markets and the Regulatory Response
-
-
Roell, A.1
-
27
-
-
84977718754
-
Information and volatility: The no-Arbitrage approach to timing and resolution of irrelevancy
-
Ross, S. "Information and Volatility: The No-Arbitrage Approach to Timing and Resolution of Irrelevancy." Journal of Finance, 44 (1989), pp. 1-17.
-
(1989)
Journal of Finance
, vol.44
, pp. 1-17
-
-
Ross, S.1
-
28
-
-
85017459501
-
The volatility of long-term interest rates and expectations models of the term structure
-
Shiller, R. "The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure." Journal of Political Economy, 87 (1979), pp. 1190-1219.
-
(1979)
Journal of Political Economy
, vol.87
, pp. 1190-1219
-
-
Shiller, R.1
-
29
-
-
84925923593
-
Expectations models of the term structure and implied variance bounds
-
Singleton, K.J. "Expectations Models of the Term Structure and Implied Variance Bounds." Journal of Political Economy, 88 (1980), pp. 1159-1176.
-
(1980)
Journal of Political Economy
, vol.88
, pp. 1159-1176
-
-
Singleton, K.J.1
-
31
-
-
84986767536
-
Arma models with arch errors
-
Weiss, A. "ARMA Models with ARCH Errors." Journal of Time Series Analysis, 5 (1984), pp. 129-143.
-
(1984)
Journal of Time Series Analysis
, vol.5
, pp. 129-143
-
-
Weiss, A.1
|