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subject:"Time series analysis"
~isPartOf:"Applied economics letters"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Portfolio selection"
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A threshold model for local volatility : evidence of leverage and mean reversion effects on historical data
Lejay, Antoine
;
Pigato, Paolo
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012030906
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2
Mean reversion trading with sequential deadlines and transaction costs
Kitapbayev, Yerkin
;
Leung, Tim
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011846482
Saved in:
3
Do Asia-Pacific stock prices follow a random walk? : a regime-switching perspective
Shen, Xin
;
Holmes, Mark J.
- In:
Applied economics letters
21
(
2014
)
1/3
,
pp. 189-195
Persistent link: https://www.econbiz.de/10010239896
Saved in:
4
Optimal mean reversion trading with transaction costs and stop-loss exit
Leung, Tim
;
Li, Xin
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011403754
Saved in:
5
Implication of the Kelly criterion for multi-dimensional processes
Lv, Yingdong
;
Meister, Bernhard K.
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 93-112
Persistent link: https://www.econbiz.de/10008860421
Saved in:
6
On the shape of risk aversion and asset allocation
Six, Pierre
- In:
International journal of theoretical and applied finance
17
(
2014
)
8
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010498792
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