Intertemporal capital asset pricing and the term structure of interest rates

von Marsh, Terry Alan
Veröffentlicht 1981

Correlation in daily equity and fixed-income returns : implications for a cross-asset factor model

von Marsh, Terry Alan
Veröffentlicht in Innovations in investment management (2008)

Term structure of interest rates and the pricing of fixed income claims and bonds

von Marsh, Terry Alan
Veröffentlicht in Finance (1995)

Asset pricing model specification and the term structure evidence

von Marsh, Terry Alan
Veröffentlicht 1985

On non-linear serial dependencies in stock returns

von Marsh, Terry Alan
Veröffentlicht in New approaches to modelling, specification selection and econometric inference

Alpha signals, smart betas, and factor model alignment

von Marsh, Terry Alan
Veröffentlicht in The journal of portfolio management (2016)

"Black swans" and the financial crisis

von Marsh, Terry Alan
Veröffentlicht in Review of Pacific Basin financial markets and policies (2012)

The pricing of Japanese equity warrants

von Kuwahara, Hiroto
Veröffentlicht in Management science (1992)

Variations in economic uncertainty and risk premiums on capital assets

von Gennotte, Gerard
Veröffentlicht in European economic review (1993)

Flight to quality and asset allocation in a financial crisis

von Marsh, Terry Alan
Veröffentlicht in Financial analysts' journal (2013)

Why doesn't the Black- Scholes Model fit Japanese warrants and convertible bonds?

von Kuwahara, Hiroto
Veröffentlicht in International review of finance (2000)

Tail index estimation in small samples : simulation results for independent and ARCH-type financial return models

von Wagner, Niklas F.
Veröffentlicht in Statistical papers (2004)

Measuring tail thickness under GARCH and an application to extreme exchange rate changes

von Wagner, Niklas F.
Veröffentlicht in Journal of empirical finance (2005)

Asset prices, midterm elections, and political uncertainty

von Chan, Kam Fong
Veröffentlicht in Journal of financial economics (2021)

Dividend variability and variance bounds tests for the rationality of stock market prices

von Marsh, Terry Alan
Veröffentlicht in The American economic review (1986)

Trading activity and price behavior in the stock and stock index futures markets in october 1987

von Gammill, James F.
Veröffentlicht in The journal of economic perspectives (1988)

Asset pricing on earnings announcement days

von Chan, Kam Fong
Veröffentlicht in Journal of financial economics (2022)

Dividend behavior for the aggregate stock market

von Marsh, Terry Alan
Veröffentlicht in The journal of business (1987)

Term structure of interest rates and the pricing of fixed income claims and bonds

von Marsh, Terry Alan
Veröffentlicht 1994

Decomposing factor exposure for equity portfolios

Veröffentlicht in Knight, John Linear factor models in finance (2005)