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Monotonicity in asset returns : new tests with applications to the term structure, the CAPM, and portfolio sorts
Patton, Andrew J.; Timmermann, Allan - In: Journal of financial economics 98 (2010) 3, pp. 605-625
Persistent link: https://www.econbiz.de/10008826984
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What you see is not what you get : the costs of trading market anomalies
Patton, Andrew J.; Weller, Brian M. - In: Journal of financial economics 137 (2020) 2, pp. 515-549
Persistent link: https://www.econbiz.de/10012652828
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Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts
Patton, Andrew J.; Timmermann, Allan - In: Journal of financial economics 98 (2010) 3, pp. 605-626
Persistent link: https://www.econbiz.de/10008706032
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Realized semibetas : disentangling "good" and "bad" downside risks
Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - In: Journal of financial economics 144 (2022) 1, pp. 227-246
Persistent link: https://www.econbiz.de/10013407090
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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - In: Journal of financial economics 64 (2002) 3, pp. 341-372
Persistent link: https://www.econbiz.de/10001687813
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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - In: Journal of financial economics 64 (2002) 3, pp. 341-372
Persistent link: https://www.econbiz.de/10006509009
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What are the events that shake our world? : measuring and hedging global COVOL
Engle, Robert F.; Campos-Martins, Susana - In: Journal of financial economics 147 (2023) 1, pp. 221-242
Persistent link: https://www.econbiz.de/10013546063