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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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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
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Model comparison tests of linear factor models in U.K. stock returns
Fletcher, Jonathan - In: Finance research letters 28 (2019), pp. 281-291
Persistent link: https://www.econbiz.de/10012388326
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The sharpe ratio of estimated efficient portfolios
Kourtis, Apostolos - In: Finance research letters 17 (2016), pp. 72-78
Persistent link: https://www.econbiz.de/10011596225
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Regime switching in the present value models : a backward-solving method
Kim, Jan R.; Chung, Keunsuk - In: Finance research letters 32 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012430760
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Mispricing, returns and the quest for parsimony
In: Finance research letters 37 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012484942
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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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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