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Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
González-Urteaga, Ana; Nieto, Belén; Rubio, Gonzalo - In: Quantitative finance 21 (2021) 5, pp. 713-727
Persistent link: https://www.econbiz.de/10012500183
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Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
González-Urteaga, Ana; Nieto Domenech, Belen; Rubio, … - In: Quantitative finance 21 (2021) 5, pp. 713-727
Persistent link: https://www.econbiz.de/10012500184
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Trend following with momentum versus moving averages : a tale of differences
Zakamulin, Valeriy; Giner, Javier - In: Quantitative finance 20 (2020) 6, pp. 985-1007
Persistent link: https://www.econbiz.de/10012262654
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Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
Achab, Massil; Bacry, E.; Muzy, J. F.; Rambaldi, M. - In: Quantitative finance 18 (2018) 2, pp. 199-212
Persistent link: https://www.econbiz.de/10011905857
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The effectiveness of incorporating higher moments in portfolio strategies : evidence from the Chinese commodity futures markets
Liu, Qingfu; Jiang, Pan; An, Yunbi; Cheung, Keith C. K. - In: Quantitative finance 20 (2020) 4, pp. 653-668
Persistent link: https://www.econbiz.de/10012194912
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Forecasting market index volatility using Ross-recovered distributions
Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Quantitative finance 22 (2022) 2, pp. 255-271
Persistent link: https://www.econbiz.de/10013167736
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Tempered stable processes with time-varying exponential tails
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphaël - In: Quantitative finance 22 (2022) 3, pp. 541-561
Persistent link: https://www.econbiz.de/10013167779
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Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang - In: Quantitative finance 22 (2022) 1, pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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Estimating large losses in insurance analytics and operational risk using the g-and-h distribution
Bee, Marco; Hambuckers, J.; Trapin, L. - In: Quantitative finance 21 (2021) 7, pp. 1207-1221
Persistent link: https://www.econbiz.de/10012588037
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The limitations of estimating implied densities from option prices
Shelton, Austin; Kane, Hayden; Favreau, Charles - In: Quantitative finance 21 (2021) 11, pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789