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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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Macroeconomic fundamentals, jump dynamics and expected volatility
Pan, Zhiyuan; Bu, Ruijun; Liu, Li; Wang, Yudong - In: Quantitative finance 20 (2020) 8, pp. 1345-1371
Persistent link: https://www.econbiz.de/10012262666
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Dynamic portfolio optimization across hidden market regimes
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Quantitative finance 18 (2018) 1, pp. 83-95
Persistent link: https://www.econbiz.de/10011905831
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Portfolio performance of linear SDF models : an out-of-sample assessment
Guidolin, Massimo; Hansen, Erwin; Lozano-Banda, Martín - In: Quantitative finance 18 (2018) 8, pp. 1425-1436
Persistent link: https://www.econbiz.de/10011911550
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Targeting market neutrality
Lee, John B.; Reeves, Jonathan J.; Tjahja, Alice C.; … - In: Quantitative finance 19 (2019) 3, pp. 437-451
Persistent link: https://www.econbiz.de/10012194663
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Leveraging a call-put ratio as a trading signal
Houlihan, Patrick; Creamer Guillén, Germán - In: Quantitative finance 19 (2019) 5, pp. 763-777
Persistent link: https://www.econbiz.de/10012194713
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Scenario analysis for derivative portfolios via dynamic factor models
Haugh, Martin B.; Lacedelli, Octavio Ruiz - In: Quantitative finance 20 (2020) 4, pp. 547-571
Persistent link: https://www.econbiz.de/10012194907
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Decision trees unearth return sign predictability in the S&P 500
Fiévet, Lucas; Sornette, Didier - In: Quantitative finance 18 (2018) 11, pp. 1797-1814
Persistent link: https://www.econbiz.de/10012261997
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Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol; Dakos, Michael - In: Quantitative finance 23 (2023) 3, pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
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Integrating prediction in mean-variance portfolio optimization
Butler, Andrew; Kwon, Roy H. - In: Quantitative finance 23 (2023) 3, pp. 429-452
Persistent link: https://www.econbiz.de/10014232664