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A non-parametric test and predictive model for signed path dependence
Dias, Fabio S.; Peters, Gareth - In: Computational economics 56 (2020) 2, pp. 461-498
Persistent link: https://www.econbiz.de/10012272043
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Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue; Liang, Ying - In: Computational economics 61 (2023) 1, pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
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Portfolio selection using multivariate semiparametric estimators and a copula PCA-based approach
Kouaissah, Noureddine; Ortobelli Lozza, Sergio; … - In: Computational economics 60 (2022) 3, pp. 833-859
Persistent link: https://www.econbiz.de/10013380843
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Stock market response to quantitative easing : evidence from the novel rolling windows nonparametric causality-in-quantiles approach
Olasehinde-Williams, Godwin; Olanipekun, Ifedola; … - In: Computational economics 64 (2024) 2, pp. 947-977
Persistent link: https://www.econbiz.de/10015078071
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Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
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Integrated portfolio risk measure : estimation and asymptotics of multivariate geometric quantiles
Sun, Edward W.; Wang, Yu-Jen; Yu, Min-Teh - In: Computational economics 52 (2018) 2, pp. 627-652
Persistent link: https://www.econbiz.de/10012053017
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Low complexity algorithmic trading by feedforward neural networks
Levendovszky, J.; Reguly, I.; Olah, A.; Ceffer, A. - In: Computational economics 54 (2019) 1, pp. 267-279
Persistent link: https://www.econbiz.de/10012134157
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An iterative approach to ill-conditioned optimal portfolio selection
Gulliksson, Mårten; Mazur, Stepan - In: Computational economics 56 (2020) 4, pp. 773-794
Persistent link: https://www.econbiz.de/10012390467
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Portfolio selection based on emd denoising with correlation coefficient test criterion
Su, Kuangxi; Yao, Yinhong; Zheng, Chengli; Xie, Wenzhao - In: Computational economics 63 (2024) 1, pp. 391-421
Persistent link: https://www.econbiz.de/10014472254
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Portfolio selection with a rank-deficient covariance matrix
Gulliksson, Mårten; Oleynik, Anna; Mazur, Stepan - In: Computational economics 63 (2024) 6, pp. 2247-2269
Persistent link: https://www.econbiz.de/10014636734