EVA: The bubble years, meltdown and beyond
Author
Abstract
Suggested Citation
DOI: 10.1057/jam.2009.4
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
- Biddle, Gary C. & Bowen, Robert M. & Wallace, James S., 1997. "Does EVA(R) beat earnings? Evidence on associations with stock returns and firm values," Journal of Accounting and Economics, Elsevier, vol. 24(3), pages 301-336, December.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Javier Estrada, 2006. "Downside Risk in Practice," Journal of Applied Corporate Finance, Morgan Stanley, vol. 18(1), pages 117-125, March.
- Knez, Peter J & Ready, Mark J, 1996. "Estimating the Profits from Trading Strategies," The Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1121-1163.
- Gary C. Biddle & Robert M. Bowen & James S. Wallace, 1999. "Evidence On Eva," Journal of Applied Corporate Finance, Morgan Stanley, vol. 12(2), pages 69-79, June.
- Clare, A D & Thomas, S H & Wickens, M R, 1994. "Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns?," Economic Journal, Royal Economic Society, vol. 104(423), pages 303-315, March.
- Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Gatfaoui, Hayette, 2013. "Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets," Economic Modelling, Elsevier, vol. 30(C), pages 776-791.
- Clements, A. & Silvennoinen, A., 2013. "Volatility timing: How best to forecast portfolio exposures," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 108-115.
- Rama K. Malladi & Prakash L. Dheeriya, 2021. "Time series analysis of Cryptocurrency returns and volatilities," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(1), pages 75-94, January.
- De Lira Salvatierra, Irving & Patton, Andrew J., 2015.
"Dynamic copula models and high frequency data,"
Journal of Empirical Finance, Elsevier, vol. 30(C), pages 120-135.
- Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013. "Dynamic Copula Models and High Frequency Data," Working Papers 13-28, Duke University, Department of Economics.
- Allan Timmermann, 2018. "Forecasting Methods in Finance," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 449-479, November.
- Timmermann, Allan, 2018. "Forecasting Methods in Finance," CEPR Discussion Papers 12692, C.E.P.R. Discussion Papers.
- Li, Jia & Patton, Andrew J., 2018.
"Asymptotic inference about predictive accuracy using high frequency data,"
Journal of Econometrics, Elsevier, vol. 203(2), pages 223-240.
- Jia Li & Andrew J. Patton, 2013. "Asymptotic Inference about Predictive Accuracy Using High Frequency Data," Working Papers 13-27, Duke University, Department of Economics.
- Xuedi Li & Jie Ma & Zhu Chen & Haitao Zheng, 2018. "Linkage Analysis among China’s Seven Emissions Trading Scheme Pilots," Sustainability, MDPI, vol. 10(10), pages 1-13, September.
- Julyerme M. Tonin & Carlos M. R. Vieira & Rui M. de Sousa Fragoso & João G. Martines Filho, 2020. "Conditional correlation and volatility between spot and futures markets for soybean and corn," Agribusiness, John Wiley & Sons, Ltd., vol. 36(4), pages 707-724, October.
- Asai, Manabu & McAleer, Michael, 2015.
"Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 436-446.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing," Documentos de Trabajo del ICAE 2013-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," KIER Working Papers 840, Kyoto University, Institute of Economic Research.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," Tinbergen Institute Discussion Papers 13-003/III, Tinbergen Institute.
- David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
- Mensah, Jones Odei & Premaratne, Gamini, 2018. "Integration of ASEAN banking sector stocks," Journal of Asian Economics, Elsevier, vol. 59(C), pages 48-60.
- Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016.
"Connecting VIX and Stock Index ETF,"
Tinbergen Institute Discussion Papers
16-010/III, Tinbergen Institute, revised 23 Jan 2017.
- Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2017. "Connecting VIX and Stock Index ETF," Documentos de Trabajo del ICAE 2017-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2017. "Connecting VIX and Stock Index ETF," Econometric Institute Research Papers 2016-010/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Rizvi, Syed Kumail Abbas & Naqvi, Bushra, 2008. "Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan," MPRA Paper 19488, University Library of Munich, Germany.
- Chia-Lin Chang & Yiying Li & Michael McAleer, 2018.
"Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice,"
Energies, MDPI, vol. 11(6), pages 1-19, June.
- Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Documentos de Trabajo del ICAE 2015-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Tinbergen Institute Discussion Papers 15-077/III, Tinbergen Institute.
- Chang, C-L. & Li, Y. & McAleer, M.J., 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Econometric Institute Research Papers EI2015-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael Mcaleer & Bernardo da Veiga, 2008. "Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 1-19.
- Massimiliano Caporin & Michael McAleer, 2013.
"Ten Things you should know about DCC,"
Tinbergen Institute Discussion Papers
13-048/III, Tinbergen Institute.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Documentos de Trabajo del ICAE 2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
- Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
- Mauro Bernardi & Leopoldo Catania, 2015. "Switching-GAS Copula Models With Application to Systemic Risk," Papers 1504.03733, arXiv.org, revised Jan 2016.
- Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018.
"Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances,"
Energy, Elsevier, vol. 151(C), pages 984-997.
- Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Documentos de Trabajo del ICAE 2016-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chang, C-L. & McAleer, M.J. & Wang, Y., 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Econometric Institute Research Papers EI2016-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Yanghuiting Wang, 2016. "Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances," Tinbergen Institute Discussion Papers 16-047/III, Tinbergen Institute.
- Buccheri, Giuseppe & Corsi, Fulvio & Flandoli, Franco & Livieri, Giulia, 2021. "The continuous-time limit of score-driven volatility models," Journal of Econometrics, Elsevier, vol. 221(2), pages 655-675.
More about this item
Keywords
EVA; GARCH; conditional correlation;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:assmgt:v:10:y:2009:i:3:d:10.1057_jam.2009.4. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.