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subject:"Estimation"
~person:"Bessler, Wolfgang"
~person:"Engsted, Tom"
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Estimation
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91
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29
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Bessler, Wolfgang
Engsted, Tom
Caporale, Guglielmo Maria
80
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75
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71
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49
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34
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33
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33
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29
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ECONIS (ZBW)
29
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1
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29
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1
Characteristic-sorted portfolios and macroeconomic risks : an orthogonal decomposition
Adcock, Christopher
;
Bessler, Wolfgang
;
Conlon, Thomas
- In:
Journal of empirical finance
65
(
2022
),
pp. 24-50
Persistent link: https://www.econbiz.de/10013286399
Saved in:
2
Multi-Asset Portfolio Optimization and Out-of-Sample Performance : An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches
Bessler, Wolfgang
-
2014
The Black-Litterman model aims to enhance asset allocation decisions by overcoming the problems of mean-variance portfolio optimization. We propose a sample based version of the Black-Litterman model and implement it on a multi-asset portfolio consisting of global stocks, bonds, and commodity...
Persistent link: https://www.econbiz.de/10013065986
Saved in:
3
Fama on bubbles
Engsted, Tom
- In:
Journal of economic surveys
30
(
2016
)
2
,
pp. 370-376
Persistent link: https://www.econbiz.de/10011553491
Saved in:
4
Do commodities add value in multi-asset portfolios? : an out-of-sample analysis for different investment strategies
Bessler, Wolfgang
;
Wolff, Dominik
- In:
Journal of banking & finance
60
(
2015
),
pp. 1-20
Persistent link: https://www.econbiz.de/10011544827
Saved in:
5
Return predictability and intertemporal asset allocation : evidence from a bias-adjusted VAR model
Engsted, Tom
;
Pedersen, Thomas Q.
- In:
Journal of empirical finance
19
(
2012
)
2
,
pp. 241-253
Persistent link: https://www.econbiz.de/10009615710
Saved in:
6
Habit formation, surplus consumption and return predictability : international evidence
Engsted, Tom
;
Hyde, Stuart
;
Møller, Stig Vinther
- In:
Journal of international money and finance
29
(
2010
)
7
,
pp. 1237-1255
Persistent link: https://www.econbiz.de/10009238968
Saved in:
7
Zeitvariable Asset-Pricing-Modelle für den deutschen Aktienmarkt : empirische Untersuchung der Bedeutung makroökonomischer Einflussfaktoren
Opfer, Heiko
-
2004
-
1. Aufl.
Persistent link: https://www.econbiz.de/10002465981
Saved in:
8
Regime shifts in the Danish term structure of interest rates
Engsted, Tom
;
Nyholm, Ken
- In:
Empirical economics : a journal of the Institute for …
25
(
2000
)
1
,
pp. 1-13
Persistent link: https://www.econbiz.de/10001452532
Saved in:
9
Estimating the LQAC model with I(2) variables
Engsted, Tom
;
Haldrup, Niels
- In:
Journal of applied econometrics
14
(
1999
)
2
,
pp. 155-170
Persistent link: https://www.econbiz.de/10001387387
Saved in:
10
Multicointegration in stock-flow models
Engsted, Tom
;
Haldrup, Niels
- In:
Oxford bulletin of economics and statistics
61
(
1999
)
2
,
pp. 237-254
Persistent link: https://www.econbiz.de/10001407318
Saved in:
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