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"KLICing" there and back again : portfolio selection using the empirical likelihood divergence and Hellinger distance
Haley, M. Ryan; McGee, M. Kevin - In: Journal of empirical finance 18 (2011) 2, pp. 341-352
Persistent link: https://www.econbiz.de/10009301111
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Retrieving risk neutral densities from European option prices based on the principle of maximum entropy
Rompolis, Leonidas S. - In: Journal of empirical finance 17 (2010) 5, pp. 918-937
Persistent link: https://www.econbiz.de/10009267235
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Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization
Kim, Chang-Jin; Nelson, Charles R.; Startz, Richard - In: Journal of empirical finance 5 (1998) 2, pp. 131-154
Persistent link: https://www.econbiz.de/10001374883
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Portfolio optimisation under flexible dynamic dependence modelling
Bernardi, Mauro; Catania, Leopoldo - In: Journal of empirical finance 48 (2018), pp. 1-18
Persistent link: https://www.econbiz.de/10012109219
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A test of asymmetric comovement for state-dependent stock returns
Deng, Kaihua - In: Journal of empirical finance 36 (2016), pp. 68-85
Persistent link: https://www.econbiz.de/10011662752
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An infinite hidden Markov model for short-term interest rates
Maheu, John M.; Yang, Qiao - In: Journal of empirical finance 38 (2016), pp. 202-220
Persistent link: https://www.econbiz.de/10011663269
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How regular are directional movements in commodity and asset prices? : a Wald test
Oglend, Atle; Kleppe, Tore Selland - In: Journal of empirical finance 38 (2016), pp. 290-306
Persistent link: https://www.econbiz.de/10011664705
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The frequency of regime switching in financial market volatility
BenSaïda, Ahmed - In: Journal of empirical finance 32 (2015), pp. 63-79
Persistent link: https://www.econbiz.de/10011556784
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Short-term determinants of the idiosyncratic sovereign risk premium : a regime-dependent analysis for European credit default swaps
Calice, Giovanni; Mio, RongHui; Štěrba, Filip; … - In: Journal of empirical finance 33 (2015), pp. 174-189
Persistent link: https://www.econbiz.de/10011556866
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Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?
Salvador, Enrique; Floros, Christos; Aragó Manzana, Vicent - In: Journal of empirical finance 28 (2014), pp. 60-77
Persistent link: https://www.econbiz.de/10011284508