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Downside risk and asset pricing
Post, Thierry; Vliet, Pim van - In: Journal of banking & finance 30 (2006) 3, pp. 823-849
Persistent link: https://www.econbiz.de/10003300393
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Downside risk aversion, fixed-income exposure, and the value premium puzzle
Baltussen, Guido; Post, Thierry; Vliet, Willem Nicolaas van - In: Journal of banking & finance 36 (2012) 12, pp. 3382-3398
Persistent link: https://www.econbiz.de/10009660448
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Anomalies in commodity futures markets
Hollstein, Fabian; Prokopczuk, Marcel; Tharann, Björn - In: The quarterly journal of finance 11 (2021) 4, pp. 1-43
Persistent link: https://www.econbiz.de/10013170772
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The memory of beta
Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - In: Journal of banking & finance 124 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012816442
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Nonparametric tests for optimal predictive ability
Arvanitis, Stelios; Post, Thierry; Potì, Valerio; … - In: International journal of forecasting 37 (2021) 2, pp. 881-898
Persistent link: https://www.econbiz.de/10012792879
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A concave security market line
De Giorgi, Enrico; Post, Thierry; Yalçın, Atakan - In: Journal of banking & finance 106 (2019), pp. 65-81
Persistent link: https://www.econbiz.de/10012223950
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Curve momentum
Paschke, Raphael; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 113 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012226133
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Robust optimization of forecast combinations
Post, Thierry; Karabati, Selcuk; Arvanitis, Stelios - In: International journal of forecasting 35 (2019) 3, pp. 910-926
Persistent link: https://www.econbiz.de/10012305190
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Variance risk in commodity markets
Prokopczuk, Marcel; Symeonidis, Lazaros; Wese Simen, Chardin - In: Journal of banking & finance 81 (2017), pp. 136-149
Persistent link: https://www.econbiz.de/10011816431
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Asset prices and "the devil(s) you know"
Hollstein, Fabian; Nguyen, Duc Binh Benno; Prokopczuk, … - In: Journal of banking & finance 105 (2019), pp. 20-35
Persistent link: https://www.econbiz.de/10012163795