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Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun; Shao, Chenjie - In: Quantitative finance 22 (2022) 2, pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
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Estimation risk and the implicit value of index-tracking
Clark, Brian; Edirisinghe, Chanaka; Simaan, Majeed - In: Quantitative finance 22 (2022) 2, pp. 303-319
Persistent link: https://www.econbiz.de/10013167745
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Conditions for bubbles to arise under heterogeneous beliefs
Lee, Seunghyun; Park, Hyungbin - In: Quantitative finance 22 (2022) 3, pp. 409-421
Persistent link: https://www.econbiz.de/10013167765
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Geometry of unconditionally efficient portfolios formed with conditioning information : the efficient semicircle
Siegel, Andrew F. - In: Quantitative finance 21 (2021) 6, pp. 881-889
Persistent link: https://www.econbiz.de/10012515623
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Computation of expected shortfall by fast detection of worst scenarios
Bouchard, Bruno; Reghai, Adil; Virrion, Benjamin - In: Quantitative finance 21 (2021) 7, pp. 1087-1108
Persistent link: https://www.econbiz.de/10012588021
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Backtesting expected shortfall and beyond
Deng, Kaihua; Qiu, Jie - In: Quantitative finance 21 (2021) 7, pp. 1109-1125
Persistent link: https://www.econbiz.de/10012588022
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Bayesian model averaging and the conditional volatility process : an application to predicting aggregate equity returns by conditioning on economic variables
Nonejad, Nima - In: Quantitative finance 21 (2021) 8, pp. 1387-1411
Persistent link: https://www.econbiz.de/10012608655
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Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: Quantitative finance 21 (2021) 11, pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
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CME iceberg order detection and prediction
Zotikov, Dmitry; Antonov, Anton - In: Quantitative finance 21 (2021) 11, pp. 1977-1992
Persistent link: https://www.econbiz.de/10012696802
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Realized higher-order comoments
Bae, Kwangil; Lee, Soonhee - In: Quantitative finance 21 (2021) 3, pp. 421-429
Persistent link: https://www.econbiz.de/10012483831