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Sparse index clones via the sorted ℓ1-Norm
Kremer, Philipp J.; Brzyski, Damian; Bogdan, Małgorzata; … - In: Quantitative finance 22 (2022) 2, pp. 349-366
Persistent link: https://www.econbiz.de/10013167757
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Forecasting exchange rates using asymmetric losses : a Bayesian approach
Tsiotas, Georgios - In: Quantitative finance 22 (2022) 2, pp. 273-287
Persistent link: https://www.econbiz.de/10013167737
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Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.; Galakis, John; Vrontos, Ioannis D. - In: Quantitative finance 21 (2021) 10, pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
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On a new parametrization class of solvable diffusion models and transition probability kernels
Tudor, Sebastian F.; Chatterjee, Rupak; Tydniouk, Igor - In: Quantitative finance 21 (2021) 10, pp. 1773-1790
Persistent link: https://www.econbiz.de/10012653711
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Reduction of estimation error impact in the risk parity strategiesv
Kim, Hyuksoo; Kim, Saejoon - In: Quantitative finance 21 (2021) 8, pp. 1351-1364
Persistent link: https://www.econbiz.de/10012608651
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Noise fit, estimation error and a Sharpe information criterion
Paulsen, Dirk; Söhl, Jakob - In: Quantitative finance 20 (2020) 6, pp. 1027-1043
Persistent link: https://www.econbiz.de/10012262656
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Consumption, aggregate wealth and expected stock returns : a fractional cointegration approach
Ren, Yu; Xie, Tian - In: Quantitative finance 18 (2018) 12, pp. 2101-2112
Persistent link: https://www.econbiz.de/10012262986
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Short term prediction of extreme returns based on the recurrence interval analysis
Jiang, Zhi-Qiang; Wang, Gang-Jin; Canabarro, Askery; … - In: Quantitative finance 18 (2018) 3, pp. 353-370
Persistent link: https://www.econbiz.de/10011906380
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A Bayesian encompassing test using combined value-at-risk estimates
Tsiotas, Georgios - In: Quantitative finance 18 (2018) 3, pp. 395-417
Persistent link: https://www.econbiz.de/10011906387
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Portfolio optimization under Expected Shortfall : contour maps of estimation error
Caccioli, Fabio; Kondor, Imre; Papp, Gábor - In: Quantitative finance 18 (2018) 8, pp. 1295-1313
Persistent link: https://www.econbiz.de/10011911538