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Momentum strategies based on reward-risk stock selection criteria
Račev, Svetlozar T.; Jašić, Teo; Stoyanov, Stoyan; … - In: Journal of banking & finance 31 (2007) 8, pp. 2325-2346
Persistent link: https://www.econbiz.de/10003522928
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The limits of diversification when losses may be large
Ibragimov, Rustam; Walden, Johan - In: Journal of banking & finance 31 (2007) 8, pp. 2551-2569
Persistent link: https://www.econbiz.de/10003522982
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Exploring the role of the realized return distribution in the formation of the implied volatility smile
Chalamandaris, Georgios; Rompolis, Leonidas S. - In: Journal of banking & finance 36 (2012) 4, pp. 1028-1044
Persistent link: https://www.econbiz.de/10009557834
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Mixture pair-copula-constructions
Weiß, Gregor; Scheffer, Marcus - In: Journal of banking & finance 54 (2015), pp. 175-191
Persistent link: https://www.econbiz.de/10011377813
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Portfolio optimization in the presence of dependent financial returns with long memory : a copula based approach
Boubaker, Heni; Sghaier, Nadia - In: Journal of banking & finance 37 (2013) 2, pp. 361-377
Persistent link: https://www.econbiz.de/10009705653
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Portfolio selection : an extreme value approach
DiTraglia, Francis J.; Gerlach, Jeffrey R. - In: Journal of banking & finance 37 (2013) 2, pp. 305-323
Persistent link: https://www.econbiz.de/10009705699
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CVaR sensitivty with respect to tail thickness
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of banking & finance 37 (2013) 3, pp. 977-988
Persistent link: https://www.econbiz.de/10009708724
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The structure and degree of dependence : a quantile regression approach
Baur, Dirk G. - In: Journal of banking & finance 37 (2013) 3, pp. 786-798
Persistent link: https://www.econbiz.de/10009708741
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A new approach to assessing model risk in high dimensions
Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
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Default prediction with dynamic sectoral and macroeconomic frailties
Chen, Peimin; Wu, Chunchi - In: Journal of banking & finance 40 (2014), pp. 211-226
Persistent link: https://www.econbiz.de/10010402234