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A new anomaly : the cross-sectional profitability of technical analysis
Han, Yufeng; Yang, Ke; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 5, pp. 1433-1461
Persistent link: https://www.econbiz.de/10010343641
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Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models
Zhou, Xiaocong; Nakajima, Jouchi; West, Mike - In: International journal of forecasting 30 (2014) 4, pp. 963-980
Persistent link: https://www.econbiz.de/10010517774
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Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne; Lucas, André - In: International journal of forecasting 37 (2021) 2, pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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A dynamic conditional approach to forecasting portfolio weights
Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - In: International journal of forecasting 37 (2021) 3, pp. 1111-1126
Persistent link: https://www.econbiz.de/10012794818
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Long memory conditional volatility and asset allocation
Harris, Richard D. F.; Nguyen, Anh - In: International journal of forecasting 29 (2013) 2, pp. 258-273
Persistent link: https://www.econbiz.de/10009743418
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Text-based industry momentum
Hoberg, Gerard; Phillips, Gordon M. - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2355-2388
Persistent link: https://www.econbiz.de/10012128029
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Beta matrix and common factors in stock returns
Ahn, Seung Chan; Horenstein, Alex R.; Wang, Na - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 3, pp. 1417-1440
Persistent link: https://www.econbiz.de/10011930424
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Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 39 (2023) 2, pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
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Outlier-robust methods for forecasting realized covariance matrices
Li, Dan; Drovandi, Christopher; Clements, Adam - In: International journal of forecasting 40 (2024) 1, pp. 392-408
Persistent link: https://www.econbiz.de/10014450278