Similar Search Results - EconBiz

Conditional Sharpe ratios

Chow, Victor K.; Lai, Christine W. - In: Finance research letters 12 (2015), pp. 117-133

Persistent link: https://www.econbiz.de/10011552289

Bank insolvency risk and Z-score measures : a refinement

Lepetit, Lætitia; Strobel, Frank - In: Finance research letters 13 (2015), pp. 214-224

Persistent link: https://www.econbiz.de/10011552521

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

Risk-adjusted time series momentum

Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 liquid futures contracts and show that RAMOM strategies...

Persistent link: https://www.econbiz.de/10011293745

How effective is the tail mean-variance model in the fund of fund selection? : an empirical study using various risk measures

Wang, Qiyu; Huang, Wenli; Wu, Xin; Zhang, Chao - In: Finance research letters 29 (2019), pp. 239-244

Persistent link: https://www.econbiz.de/10012418788

Tail risk and the consumption CAPM

Kwon, Ji Ho - In: Finance research letters 30 (2019), pp. 69-75

Persistent link: https://www.econbiz.de/10012420224

When Bitcoin meets economic policy uncertainty (EPU) : measuring risk spillover effect from EPU to Bitcoin

Wang, Gang-Jin; Chi, Xie; Wen, Danyan; Zhao, Longfeng - In: Finance research letters 31 (2019), pp. 489-497

Persistent link: https://www.econbiz.de/10012421780

A simulation comparison of risk measures for portfolio optimization

Righi, Marcelo Brutti; Borenstein, Denis - In: Finance research letters 24 (2018), pp. 105-112

Persistent link: https://www.econbiz.de/10011982511

Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets

Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136

Persistent link: https://www.econbiz.de/10011982519

Downside and upside risk spillovers from China to Asian stock markets : a CoVaR-copula approach

Jin, Xiaoye - In: Finance research letters 25 (2018), pp. 202-212

Persistent link: https://www.econbiz.de/10012003526

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