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Portfolio choices : comparative statics under both expected return and volatility uncertainty
Lin, Qian; Tian, Dejian - In: Quantitative finance 21 (2021) 6, pp. 1027-1035
Persistent link: https://www.econbiz.de/10012515634
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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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Dynamic principal component CAW models for high-dimensional realized covariance matrices
Gribisch, Bastian; Stollenwerk, Michael - In: Quantitative finance 20 (2020) 5, pp. 799-821
Persistent link: https://www.econbiz.de/10012262622
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The implied Sharpe ratio
Agarwal, Ankush; Lorig, Matthew - In: Quantitative finance 20 (2020) 6, pp. 1009-1026
Persistent link: https://www.econbiz.de/10012262655
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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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Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe - In: Quantitative finance 20 (2020) 11, pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
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Forecasting high-dimensional realized volatility matrices using a factor model
Shen, Keren; Yao, Jianfeng; Li, Wai Keung - In: Quantitative finance 20 (2020) 11, pp. 1879-1887
Persistent link: https://www.econbiz.de/10012295649
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A slightly depressing jump model : intraday volatility pattern simulation
Khashanah, Khaldoun; Chen, Jing; Hawkes, Alan - In: Quantitative finance 18 (2018) 2, pp. 213-224
Persistent link: https://www.econbiz.de/10011905864
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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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Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Varneskov, Rasmus Tangsgaard; Perron, Pierre - In: Quantitative finance 18 (2018) 3, pp. 371-393
Persistent link: https://www.econbiz.de/10011906384