Narrow search
Showing 1 - 10 of 67
Cover Image
Risk measures for autocorrelated hedge fund returns
Di Cesare, Antonio; Stork, Philip; Vries, Casper G. de - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 868-895
Persistent link: https://www.econbiz.de/10011417824
Cover Image
Testing nonlinear dependence in the hedge fund industry
Mencía, Javier - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 545-587
Persistent link: https://www.econbiz.de/10009571508
Cover Image
Long memory and the term structure of risk
Schotman, Peter C.; Tschernig, Rolf; Budek, Jan - In: Journal of financial econometrics : official journal of … 6 (2008) 4, pp. 459-495
Persistent link: https://www.econbiz.de/10003778939
Cover Image
Structural breaks and predictive regression models of aggregate US stock returns
Rapach, David E.; Wohar, Mark E. - In: Journal of financial econometrics : official journal of … 4 (2006) 2, pp. 238-274
Persistent link: https://www.econbiz.de/10003318450
Cover Image
Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim; Dijk, Dick van; Martens, Martin - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 341-372
Persistent link: https://www.econbiz.de/10003907520
Cover Image
Modeling international financial returns with a multivariate regime-switching copula
Chollete, Lorán; Heinen, Andréas; Valdesogo, Alfonso - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 437-480
Persistent link: https://www.econbiz.de/10003907528
Cover Image
A latent factor model of multivariate conditional heteroscedasticity
Aguilar, Mike - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 481-503
Persistent link: https://www.econbiz.de/10003907529
Cover Image
Forecast precision and portfolio performance
Kane, Alex; Kim, Tae-hwan; White, Halbert - In: Journal of financial econometrics : official journal of … 8 (2010) 3, pp. 265-304
Persistent link: https://www.econbiz.de/10003997367
Cover Image
Estimating latent variables and jump diffusion models using high-frequency data
Jiang, George J.; Oomen, Roel C. A. - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10003518278
Cover Image
Why do absolute returns predict volatility so well?
Forsberg, Lars; Ghysels, Eric - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 31-67
Persistent link: https://www.econbiz.de/10003518282