| nr |
titel |
auteur |
tijdschrift |
jaar |
jaarg. |
afl. |
pagina('s) |
type |
| 1 |
Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach
|
Holt, Matthew T.
|
|
1998
|
5 |
2 |
p. 99-129
31 p.
|
artikel
|
| 2 |
Expected stock returns, risk premiums and volatilities of economic factors 1 The author is an Associate Professor in the Department of Finance, School of Business Administration and Economics at California State University. This paper is based on a substantial revision of part of my Ph.D. dissertation at the University of Chicago (Li, 1992). I wish to thank my dissertation committee: Eugene Fama (chairman), John Cochrane, George Constantinides, Wayne Ferson, Kenneth French and Daniel Nelson for their guidance. I also acknowledge the helpful comments of seminar participants at California State University at Fullerton, Clemson University, Purdue University, University of British Columbia, University of Chicago, University of Pittsburgh, University of Washington, and especially the editor Christian C.P. Wolff and two anonymous referees. 1
|
Li, Yuming
|
|
1998
|
5 |
2 |
p. 69-97
29 p.
|
artikel
|
| 3 |
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models
|
Danı́elsson, Jón
|
|
1998
|
5 |
2 |
p. 155-173
19 p.
|
artikel
|
| 4 |
Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization 1 C.-J.K. acknowledges assistance from NON-DIRECTED RESEARCH FUND, Korea Research Foundation, 1996. 1
|
Kim, Chang-Jin
|
|
1998
|
5 |
2 |
p. 131-154
24 p.
|
artikel
|
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