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G12 - Asset Pricing; Trading volume; Bond Interest Rates
Citations 1-10 of 54 total displayed.
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Most recent content
(1 Jul 2008):
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- Articles
Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US
- Denise R. Osborn, Christos S. Savva, and Len Gill
J. Financial Econometrics 2008; 6: 307-325.
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Past content
(since Mar 2003):
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- Articles
Time-Varying Arrival Rates of Informed and Uninformed Trades
- David Easley, Robert F. Engle, Maureen O'Hara, and Liuren Wu
J. Financial Econometrics 2008; 6: 171-207.
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Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk
- Wei Biao Wu, Keming Yu, and Gautam Mitra
J. Financial Econometrics 2008; 6: 253-270.
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Detecting ARCH Effects in Non-Gaussian Time Series
- Burkhard Raunig
J. Financial Econometrics 2008; 6: 271-289.
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Size and Value Anomalies under Regime Shifts
- Massimo Guidolin and Allan Timmermann
J. Financial Econometrics 2008; 6: 1-48.
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Sorting, Firm Characteristics, and Time-varying Risk: An Econometric Analysis
- Xinting Fan and Ming Liu
J. Financial Econometrics 2008; 6: 49-86.
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Nonparametric Estimation of Expected Shortfall
- Song Xi Chen
J. Financial Econometrics 2008; 6: 87-107.
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Modeling a Multivariate Transaction Process
- Ingmar Nolte
J. Financial Econometrics 2008; 6: 143-170.
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A Statistical Inquiry into the Plausibility of Recursive Utility
- A. Ronald Gallant and Han Hong
J. Financial Econometrics 2007; 5: 523-559.
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Components of Market Risk and Return
- John M. Maheu and Thomas H. McCurdy
J. Financial Econometrics 2007; 5: 560-590.
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