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Cyclical correlations, credit contagion, and portfolio losses
Giesecke, Kay; Weber, Stefan - In: Journal of banking & finance 28 (2004) 12, pp. 3009-3036
Persistent link: https://www.econbiz.de/10002410735
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Nonparametric correlation models for portfolio allocation
Aslanidis, Nektarios; Casas, Isabel - In: Journal of banking & finance 37 (2013) 7, pp. 2268-2283
Persistent link: https://www.econbiz.de/10009760686
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The role of correlation dynamics in sector allocation
Kalotychou, Elena; Staikouras, Sotiris K.; Zhao, Gang - In: Journal of banking & finance 48 (2014), pp. 1-12
Persistent link: https://www.econbiz.de/10010506948
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Systematic credit risk in securitised mortgage portfolios
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 122 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012659310
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Investor sentiment, flight-to-quality, and corporate bond comovement
Bethke, Sebastian; Gehde-Trapp, Monika; Kempf, Alexander - In: Journal of banking & finance 82 (2017), pp. 112-132
Persistent link: https://www.econbiz.de/10011816785
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The correlation risk premium : international evidence
Faria, Gonçalo; Kosowski, Robert L.; Wang, Tianyu - In: Journal of banking & finance 136 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013448802
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Modeling and forecasting realized portfolio weights
Golosnoy, Vasyl; Gribisch, Bastian - In: Journal of banking & finance 138 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013461907
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On portfolio frictions, asset returns and volatility
Eyquem, Aurélien; Poilly, Céline; Belianska, Anna - In: European economic review : EER 160 (2023), pp. 1-23
Persistent link: https://www.econbiz.de/10014461518
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On the predictability of stock prices : a case for high and low prices
Caporin, Massimiliano; Ranaldo, Angelo; Santucci de … - In: Journal of banking & finance 37 (2013) 12, pp. 5132-5146
Persistent link: https://www.econbiz.de/10010342761
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Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - In: Journal of banking & finance 93 (2018), pp. 21-32
Persistent link: https://www.econbiz.de/10011964613