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The use of recursive model selection strategies in forecasting stock returns

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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling asset returns

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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

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Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

Persistent link: https://www.econbiz.de/10003965868

Testing CAPM with a large number of assets

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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

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Alternative approaches to estimation and inference in large multifactor panles : small sample results with an application to modelling of asset returns

Kapetanios, George (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808714