World market risk, country-specific risk and expected returns in international stock markets

By Turan G. Bali, Nusret Cakici. 2010

125 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c01533d9fccde95280299f9592293f73cfb2d90c

Citations in the corpus

• Do Return Prediction Models Add Economic Value (2012, unknown): “rt+1 = β0 + εt+1, εt+1 ∼ N(0, σ(2) t+1), log(σ(2) t+1) = δ0 + δ1xt + δ2 log(σ 2 t ) + δ3 ∣∣∣∣ εt σt ∣∣∣∣+ δ4 εt σt , (4)”