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Combining momentum, value, and quality for the Islamic equity portfolio : multi-style rotation strategies using augmented Black Litterman factor model
Dewandaru, Ginanjar; Masih, Rumi; Obiyathulla Ismath Bacha - In: Pacific-Basin finance journal 34 (2015), pp. 205-232
Persistent link: https://www.econbiz.de/10011533242
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Do Chinese mutual funds time the market?
Yi, Li; Liu, Zilan; Lei, He; Qin, Zilong; Gan, Shunli - In: Pacific-Basin finance journal 47 (2018), pp. 1-19
Persistent link: https://www.econbiz.de/10012028001
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A new government bond volatility index predictor for the U.S. equity premium
Pan, Zheyao; Kam Fong Chan - In: Pacific-Basin finance journal 50 (2018), pp. 200-215
Persistent link: https://www.econbiz.de/10012033788
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Return dispersion and conditional momentum returns : international evidence
Docherty, Paul; Hurst, Gareth - In: Pacific-Basin finance journal 50 (2018), pp. 263-278
Persistent link: https://www.econbiz.de/10012033806
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Exploiting the low-risk anomaly using machine learning to enhance the Black-Litterman framework : evidence from South Korea
Pyo, Sujin; Lee, Jaewook - In: Pacific-Basin finance journal 51 (2018), pp. 1-12
Persistent link: https://www.econbiz.de/10012035052
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Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures
Gong, Xiao-Li; Liu, Xi-Hua; Xiong, Xiong - In: Pacific-Basin finance journal 55 (2019), pp. 95-109
Persistent link: https://www.econbiz.de/10012169513
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Dynamic hedging using the realized minimum-variance hedge ratio approach : examination of the CSI 300 index futures
Qu, Hui; Wang, Tianyang; Zhang, Yi; Sun, Pengfei - In: Pacific-Basin finance journal 57 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10012170622
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Mutual fund managers' timing abilities
Liao, Li; Zhang, Xueyong; Zhang, Yeqing - In: Pacific-Basin finance journal 44 (2017), pp. 80-96
Persistent link: https://www.econbiz.de/10011800744
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Momentum, idiosyncratic volatility and market dynamics : evidence from China
Cheema, Muhammad A.; Nartea, Gilbert V. - In: Pacific-Basin finance journal 46 (2017), pp. 109-123
Persistent link: https://www.econbiz.de/10011800947
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Determining bid-ask prices for options with stochastic illiquidity and applications to index options
Chuang, Ming-Che; Tsai, Jeffrey Tzuhao - In: Pacific-Basin finance journal 84 (2024), pp. 1-22
Persistent link: https://www.econbiz.de/10014534554