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A jump model for fads in asset prices under asymmetric information
Buckley, Winston; Long, Hongwei; Perera, Sandun - In: European journal of operational research : EJOR 236 (2014) 1, pp. 200-208
Persistent link: https://www.econbiz.de/10010361742
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The dynamic Black-Litterman approach to asset allocation
Harris, Richard D. F.; Stoja, Evarist; Tan, Linzhi - In: European journal of operational research : EJOR 259 (2017) 3, pp. 1085-1096
Persistent link: https://www.econbiz.de/10011695536
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Clustering financial time series : new insights from an extended hidden Markov model
Dias, José G.; Vermunt, Jeroen K.; Ramos, Sofia B. - In: European journal of operational research : EJOR 243 (2015) 3, pp. 852-864
Persistent link: https://www.econbiz.de/10010513848
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A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358
Persistent link: https://www.econbiz.de/10010224698
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On the optimality of path-dependent structured funds : the cost of standardization
Bertrand, Philippe; Prigent, Jean-Luc - In: European journal of operational research : EJOR 277 (2019) 1, pp. 333-350
Persistent link: https://www.econbiz.de/10012015036
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From bond yield to macroeconomic instability : a parsimonious affine model
Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135
Persistent link: https://www.econbiz.de/10011802489
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Extending the Fama and French model with a long term memory factor
López-García, M. N.; Trinidad-Segovia, J. E.; … - In: European journal of operational research : EJOR 291 (2021) 2, pp. 421-426
Persistent link: https://www.econbiz.de/10012495319
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Strategic trading with information acquisition and long-memory stochastic liquidity
Han, Jinhui; Li, Xiaolong; Ma, Guiyuan; Kennedy, Adrian … - In: European journal of operational research : EJOR 308 (2023) 1, pp. 480-495
Persistent link: https://www.econbiz.de/10014283068
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Robust consumption and portfolio choice with derivatives trading
Wei, Pengyu; Yang, Charles; Zhuang, Yi - In: European journal of operational research : EJOR 304 (2023) 2, pp. 832-850
Persistent link: https://www.econbiz.de/10013534570
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A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945