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Measuring the effects of geographical distance on stock market correlation
Eckel, Stefanie Martina; Löffler, Gunter; Maurer, Alina; … - In: Journal of empirical finance 18 (2011) 2, pp. 237-247
Persistent link: https://www.econbiz.de/10009301123
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Correlation risk
Krishnan, C. N. V.; Petkova, Ralitsa; Ritchken, Peter H. - In: Journal of empirical finance 16 (2009) 2, pp. 353-367
Persistent link: https://www.econbiz.de/10003856774
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Risk-free rate effects on conditional variances and conditional correlations of stock returns
Palandri, Alessandro - In: Journal of empirical finance 25 (2014), pp. 95-111
Persistent link: https://www.econbiz.de/10010462056
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Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
Ledoit, Olivier; Wolf, Michael - In: Journal of empirical finance 10 (2003) 5, pp. 603-621
Persistent link: https://www.econbiz.de/10001806971
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A toolkit for exploiting contemporaneous stock correlations
Hiraki, Kazuhiro; Sun, Chuanping - In: Journal of empirical finance 65 (2022), pp. 99-124
Persistent link: https://www.econbiz.de/10013286402
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Does program trading contribute to excess comovement of stock returns?
Li, Mingyi; Yin, Xiangkang; Zhao, Jing - In: Journal of empirical finance 59 (2020), pp. 257-277
Persistent link: https://www.econbiz.de/10012437986
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The benefits of improved covariance estimation
Turtle, Harry J.; Wang, Kainan - In: Journal of empirical finance 37 (2016), pp. 233-246
Persistent link: https://www.econbiz.de/10011663041
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Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca; Zhao, Zhao - In: Journal of empirical finance 72 (2023), pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
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Predicting international stock returns with conditional price-to-fundamental ratios
Lawrenz, Jochen; Zorn, Josef - In: Journal of empirical finance 43 (2017), pp. 159-184
Persistent link: https://www.econbiz.de/10011817953
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Coskewness and reversal of momentum returns : the US and international evidence
Dong, Liang; Dai, Yiqing; Haque, Tariq; Kot, Hung Wan; … - In: Journal of empirical finance 69 (2022), pp. 241-264
Persistent link: https://www.econbiz.de/10013478531