f_goltz's library 138 articles Export Sort

Hide details

	Dynamic Derivative Strategies [My Copy] Journal of Financial Economics, Vol. 69, No. 3. (September 2003), pp. 401-430. by Jun Liu, Jun Pan posted to cologne continuous-time dynamic-allocation jumps options portfolio-choice by f_goltz on 2006-12-30 19:23:27 as along with 1 group assetpricing
	Mean-Risk Analysis with Risk Associated with Below-Target Returns [My Copy] The American Economic Review, Vol. 67, No. 2. (1977), pp. 116-126. by P. C. Fishburn posted to lpm old portfolio-choice utility by f_goltz on 2006-12-05 15:36:11 as along with 1 group assetpricing
	An evolutionary game theory explanation of ARCH effects [My Copy] Journal of Economic Dynamics and Control, Vol. In Press, Corrected Proof by William R. Parke, George A. Waters posted to explain-garch game-theory garch by f_goltz on 2006-12-02 18:07:21 as along with 1 person and 1 group RobHayward assetpricing
	Consensus and Uncertainty in Economic Prediction [My Copy] Journal of Political Economy, Vol. 95, No. 3. (1987), pp. 591-621. by Victor Zarnowitz, Louis A. Lambros posted to analysts dispersion empirical micro-survey-data uncertainty by f_goltz on 2006-11-29 13:34:08 as along with 1 group assetpricing
	A note on the time-series relationship between market industry concentration and market volatility [My Copy] Journal of International Financial Markets, Institutions and Money, Vol. 14 (2004), pp. 105-115. by Xuejing Xing posted to thesis by f_goltz on 2006-11-29 13:34:08 as along with 1 group assetpricing
	Why Does Stock Market Volatility Differ across Countries? Evidence from Thirty Seven International Markets [My Copy] International Journal of Business, Vol. 9, No. 1. (2004), pp. 83-102. by Xuejing Xing posted to thesis by f_goltz on 2006-11-29 13:34:08 as along with 1 group assetpricing
	Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation [My Copy] Journal of Finance, Vol. 43, No. 3. (1988), pp. 639-656. by K. D. West posted to thesis by f_goltz on 2006-11-29 13:34:08 as along with 1 group assetpricing
	The Relationships Between Sentiment, Returns and Volatility [My Copy] International Journal of Forecasting, No. forthcoming. (2005) by Yaw H. Wang, Aneek Keswani, Stephen J. Taylor posted to thesis by f_goltz on 2006-11-29 13:34:08 as along with 1 group assetpricing
	Investing when Volatility Fluctuates [My Copy] (2004) by Leping Wang posted to portfolio-choice volatility-dynamics by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Stock market overreactions to bad news in good times: a rational expectations equilibrium model [My Copy] Review of Financial Studies, Vol. 12, No. 5. (1999), pp. 975-1007. by Pietro Veronesi posted to learning regime-switching theory by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Analysis of Financial Time Series [My Copy] (2005) by Ruey S. Tsay posted to arma book garch time-series by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning [My Copy] Review of Economics and Statistics, Vol. 63, No. 4. (1996), pp. 523-557. by A. Timmermann posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices [My Copy] Quarterly Journal of Economics, Vol. 108, No. 4. (1993), pp. 1135-1145. by A. G. Timmermann posted to excess-volatility learning theory by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Why Stock Markets Crash: Critical Events in Complex Financial Systems [My Copy] (2003) by Didier Sornette posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 person and 1 group scis0000001 assetpricing
	Implied volatility forecasts in the grains complex [My Copy] Journal of Futures Markets, Vol. 22, No. 10. (2002), pp. 959-981. by David P. Simon posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? [My Copy] American Economic Review, Vol. 71, No. 3. (1981), pp. 421-36. by Robert J. Shiller posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Volume, volatility, and the dispersion of beliefs [My Copy] Review of Financial Studies, Vol. 6, No. 2. (1993), pp. 405-434. by C. T. Shalen posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Why Does Stock Market Volatility Change over Time? [My Copy] Journal of Finance, Vol. 44, No. 5. (1989), pp. 1115-53. by William G. Schwert posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	A General Mean-Variance Approximation to Expected Utility for Short Holding Periods [My Copy] Journal of Financial & Quantitative Analysis, Vol. 3, No. 16. (1981), pp. 361-373. by L. B. Pulley posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Forecasting Volatility in Financial Markets: A Review [My Copy] Journal of Economic Literature, Vol. 41, No. 2. (2003), pp. 478-539. by Ser H. Poon, Clive W. J. Granger posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Forecasting Volatility States and Active Portfolio Strategies [My Copy] (2002) by Birger Nilsson, Mattias Persson posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Modelling and Forecasting the volatility of thin emerging Stock Markets [My Copy] (2004) by Plamen Patev, Nigokhos Kanaryana posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	The extreme value method for estimating the variance of the rate of return [My Copy] Journal of Financial & Quantitative Analysis, Vol. 2, No. 5. (1980) by Michael Parkinson posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Good times or bad times? Investors uncertainty and stock returns [My Copy] (2004) by Arzu Ozoguz posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	The Variability of the Market Factor of the New York Stock Exchange [My Copy] Journal of Business, Vol. 46, No. 3. (1973), pp. 434-53. by R. R. Officer posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts [My Copy] Review of Derivatives Research, Vol. 1, No. 1. (1993), pp. 139-157. by Robert F. Engle, Alex Kane, Jaesun Noh posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Forecasting Volatility and Option Prices of the S&P 500 Index [My Copy] Journal of Derivatives (1994), pp. 17-30. by Jaesun Noh, Robert F. Engle, Alex Kane posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Forecasting Foreign Exchange Volatility: Is Implied Volatility the Best We Can Do? [My Copy] (2003) by Christopher J. Neely posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	On Estimating the Expected Return on the Market [My Copy] Journal of Financial Economics, Vol. 8, No. 4. (1980), pp. 323-361. by Robert C. Merton posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	An Intertemporal Capital Asset Pricing Model [My Copy] Econometrica, Vol. 41, No. 5. (1973), pp. 867-87. by Robert C. Merton posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Is learning a dimension of risk? [My Copy] Journal of Banking & Finance, Vol. 29, No. 10. (2005), pp. 2605-2632. by Massimo Massa, Andrei Simonov posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	The economic value of predicting stock index returns and volatility [My Copy] Journal of Financial & Quantitative Analysis, Vol. 39, No. 2. (2004), pp. 407-429. by Wessel Marquering, Marno Verbeek posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	A Multivariate Nonparametric Test for Return and Volatility Timing [My Copy] Finance Research Letters, Vol. 1, No. 4. (2004), pp. 250-260. by Wessel Marquering, Marno Verbeek posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	The Fear and Exuberance from Implied Volatility of S&P 100 Index Options [My Copy] Journal of Business, Vol. 77, No. 3. (2004), pp. 527-546. by Cheekiat Low posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Hedge Funds: The Living and the Dead [My Copy] Journal of Financial & Quantitative Analysis, Vol. 35, No. 3. (2000), pp. 309-326. by B. Liang posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	The Present-Value Relation: Tests Based on Implied Variance Bounds [My Copy] Econometrica, Vol. 49, No. 3. (1981), pp. 555-574. by S. F. Leroy, R. D. Porter posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Economic Forecast Evaluation: Profits versus the Conventional Error Measures [My Copy] American Economic Review, Vol. 81, No. 3. (1991), pp. 580-90. by Gordon Leitch, Ernest J. Tanner posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Theory and Methodology of Tactical Asset Allocation [My Copy] by Wai Lee posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities [My Copy] Review of Financial Studies, Vol. 6, No. 2. (1993), pp. 293-326. by Christopher G. Lamoureux, William D. Lastrapes posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Determinants of stock market volatility and risk premia [My Copy] Annals of Finance, Vol. 1, No. 2. (2005), pp. 109-147. by Mordecai Kurz, Hehui Jin, Maurizio Motolese posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Mean-Variance versus Direct Utility Maximization [My Copy] Journal of Finance, Vol. 39, No. 1. (1984), pp. 47-61. by Yoram Kroll, Haim Levy, Harry M. Markowitz posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements [My Copy] Journal of Empirical Finance, Vol. 12, No. 3. (2005), pp. 445-475. by Siem J. Koopman, Borus Jungbacker, Eugenie Hol posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Implied volatility dynamics in the foreign exchange markets [My Copy] Journal of International Money and Finance, Vol. 22, No. 2. (2003), pp. 511-528. by Minho Kim, Minchoul Kim posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	The Causes of Stock Market Volatility in Australia [My Copy] Applied Financial Economics, Vol. 8, No. 6. (1998), pp. 597-605. by Colm Kearney, Kevin Daly posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	The Relation Between Price Changes and Trading Volume: A Survey [My Copy] Journal of Financial & Quantitative Analysis, Vol. 22, No. 1. (1987), pp. 109-126. by Jonathan M. Karpoff posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	On the Predictability of Stock Returns: An Asset-Allocation Perspective [My Copy] Journal of Finance, Vol. 51, No. 2. (1996), pp. 385-424. by Shmuel Kandel, Robert F. Stambaugh posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Introduction to the Theory and Practice of Econometrics [My Copy] (1989) by Judge, Griffith, Hill, Lütkepohl, Lee posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Macroeconomic news and bond market volatility [My Copy] Journal of Financial Economics, Vol. 47, No. 3. (1998), pp. 315-337. by Charles M. Jones, Owen Lamont, Robin L. Lumsdaine posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	Sequential Optimal Portfolio Performance: Market and Volatility Timing [My Copy] (2002) by Michael S. Johannes, Nick Polson, Jonathan R. Stroud posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing
	The Model-Free Implied Volatility and Its Information Content [My Copy] Review of Financial Studies, Vol. 18, No. 4. (2005), pp. 1305-1342. by George J. Jiang, Yisong S. Tian posted to thesis by f_goltz on 2006-11-29 13:34:07 as along with 1 group assetpricing

Note: You may cite this page as: http://www.citeulike.org/user/f_goltz

Result page: 1 2 3 Next

Sort by:
Order:	Default Ascending Descending
Empty fields:	Default First Last

thesis	126
portfolio-choice	3
garch	3
midas	3
empirical	2
theory	2
learning	2
dynamic-allocation	1
options	1
lpm	1
predicting-volatility	1
regime-switching	1
hedge-funds	1
volatility-dynamics	1
micro-survey-data	1
cologne	1
excess-volatility	1
book	1
jumps	1
uncertainty	1
time-series	1
old	1
icapm	1
continuous-time	1
utility	1
analysts	1
explain-garch	1
dispersion	1
arma	1
game-theory	1

f_goltz's library 138 articles Export Sort

f_goltz's tags