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Keywords: EGARCH
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2023) 12 (1-4): 57–124.
Published: 08 August 2023
..., The Hong Kong Polytechnic University (P0042708). © 2023 Seongkyu Gilbert Park, K. C. John Wei and Linti Zhang 2023 Seongkyu Gilbert Park, K. C. John Wei and Linti Zhang Licensed re-use rights only Idiosyncratic volatility Look-ahead bias EGARCH G10 G12 We next sort all...
Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2023) 12 (1-4): 271–307.
Published: 08 August 2023
.../jwurgler/. The primary objective of FSS is to investigate relations of the form E ( R m τ - R f t | σ m τ p ˆ )= α + β σ ˆ m τ p , p =1,2 (1) Expected market return Volatility Risk-return tradeoff EGARCH G11 G12 G14...
