Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange

By K. Cuthbertson. 2004

283 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e8360e2f3dc4382ed4910fa684d9738771bd3b1f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Cars H. Hommes
2. Joep Sonnemans
3. Jan Tuinstra
4. H. V. D. Velden
5. Frank H. Westerhoff
6. Xue-zhong He
7. Roberto Dieci
8. Mikhail Anufriev

Citations in the corpus

• CISS - A Composite Indicator of Systemic Stress in the Financial System (2012, unknown): “EWMA is used by many practitioners (e.g. RiskMetricsTM) to forecast daily conditional asset price volatilities and correlations (see Cuthbertson and Nitzsche 2004; González-Rivera, Lee and Yoldas 2007).”
• Coordination of Expectations in Asset Pricing Experiments (2005, methodology): “For textbook treatments of this model see e.g. Cuthbertson (1996) or Campbell, Lo and MacKinlay (1997).”
• Explaining and Forecasting Bond Risk Premiums (2010, unknown): “The capital asset pricing model (CAPM) and its more recent extension, the international CAPM (ICAPM), predict that, in equilibrium, premiums for holding a financial asset i are the product of the market price of risk and the systematic risk of that asset—that is, the portion of the total risk of i t”