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Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras; Parolya, Nestor; Thorsén, Erik - In: Finance research letters 54 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014472777
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Can portfolio risk be described with estimates of financial risk tolerance calibration?
Rabbani, Abed G.; Grable, John E. - In: Finance research letters 46 (2022) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10013342753
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Economic uncertainty and time-varying return predictability
Liu, Li - In: Finance research letters 68 (2024), pp. 1-7
Persistent link: https://www.econbiz.de/10015063722
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The instability of the Pearson correlation coefficient in the presence of coincidental outliers
Kim, Yunmi; Kim, Tae-hwan; Ergün, Tolga - In: Finance research letters 13 (2015), pp. 243-257
Persistent link: https://www.econbiz.de/10011552545
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On more robust estimation of skewness and kurtosis
Kim, Tae-hwan; White, Halbert - In: Finance research letters 1 (2004) 1, pp. 56-73
Persistent link: https://www.econbiz.de/10003307251
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Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations
Honda, Tetsuhiro; Tamaki, Kenichiro; Shiohama, Takayuki - In: Finance research letters 7 (2010) 1, pp. 60-69
Persistent link: https://www.econbiz.de/10003972397
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Optimality of the RiskMetrics VaR model
González-Rivera, Gloria; Lee, Tae-hwy; Yoldas, Emre - In: Finance research letters 4 (2007) 3, pp. 137-145
Persistent link: https://www.econbiz.de/10003702357
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The MOSUM of squares test for monitoring variance changes
Hsu, Chih-chiang - In: Finance research letters 4 (2007) 4, pp. 254-260
Persistent link: https://www.econbiz.de/10003702522
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Robust estimation of skewness and kurtosis in distributions with infinite higher moments
Bonato, Matteo - In: Finance research letters 8 (2011) 2, pp. 77-87
Persistent link: https://www.econbiz.de/10009301294
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Nonparametric estimation and testing of stochastic discount factor
Fang, Ying; Ren, Yun; Yuan, Yufei - In: Finance research letters 8 (2011) 4, pp. 196-205
Persistent link: https://www.econbiz.de/10009425853