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Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger - In: Journal of empirical finance 32 (2015), pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
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"On the (Ab)use of Omega?"
Caporin, Massimiliano; Costola, Michele; Jannin, Gregory; … - In: Journal of empirical finance 46 (2018), pp. 11-33
Persistent link: https://www.econbiz.de/10012103452
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A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - In: Journal of empirical finance 70 (2023), pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - In: Journal of empirical finance 45 (2018), pp. 228-242
Persistent link: https://www.econbiz.de/10012102423
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Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables
Nonejad, Nima - In: Journal of empirical finance 70 (2023), pp. 91-122
Persistent link: https://www.econbiz.de/10014423619
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Market volatility and momentum
Wang, Kevin Q.; Xu, Jianguo - In: Journal of empirical finance 30 (2015), pp. 79-91
Persistent link: https://www.econbiz.de/10011489219
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Long memory in log-range series : do structural breaks matter?
Chatzikonstanti, Vasiliki; Venetis, Ioannis A. - In: Journal of empirical finance 33 (2015), pp. 104-113
Persistent link: https://www.econbiz.de/10011556856
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Equity markets volatility clustering : a multiscale analysis of intraday and overnight returns
Zhao, Xiaojun; Zhang, Na; Zhang, Yali; Xu, Chao; Shang, … - In: Journal of empirical finance 77 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10014578531
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Outliers, GARCH-type models and risk measures : a comparison of several approaches
Grané, Aurea; Almeida, Helena Tenório Veiga de - In: Journal of empirical finance 26 (2014), pp. 26-40
Persistent link: https://www.econbiz.de/10010472010
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Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro; Maruotti, Antonello; Petrella, Lea - In: Journal of empirical finance 43 (2017), pp. 1-32
Persistent link: https://www.econbiz.de/10011817885