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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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Structural breaks in Box-Cox transforms of realized volatility : a model selection perspective
Behrendt, Simon - In: Quantitative finance 21 (2021) 11, pp. 1905-1919
Persistent link: https://www.econbiz.de/10012696795
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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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High-dimensional index tracking based on the adaptive elastic net
Shu, Lianjie; Shi, Fangquan; Tian, Guoliang - In: Quantitative finance 20 (2020) 9, pp. 1513-1530
Persistent link: https://www.econbiz.de/10012295621
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Performance of information criteria for selection of Hawkes process models of financial data
Chen, Jing; Hawkes, A. G.; Scalas, E.; Trinh, M. - In: Quantitative finance 18 (2018) 2, pp. 225-235
Persistent link: https://www.econbiz.de/10011905908
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Calibration to American options : numerical investigation of the de-Americanization method
Burkovska, O.; Gass, M.; Glau, Kathrin; Mahlstedt, M.; … - In: Quantitative finance 18 (2018) 7, pp. 1091-1113
Persistent link: https://www.econbiz.de/10011911523
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Challenging the robustness of optimal portfolio investment with moving average-based strategies
Bel Hadj Ayed, Ahmed; Loeper, Grégoire; Abergel, Frédéric - In: Quantitative finance 19 (2019) 1, pp. 123-135
Persistent link: https://www.econbiz.de/10012194624
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Calibration and advanced simulation schemes for the Wishart stochastic volatility model
La Bua, Gaetano; Marazzina, Daniele - In: Quantitative finance 19 (2019) 6, pp. 997-1016
Persistent link: https://www.econbiz.de/10012194737
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A new mixture cure model under competing risks to score online consumer loans
Zhang, Nailong; Yang, Qingyu; Kelleher, Aidan; Si, Wujun - In: Quantitative finance 19 (2019) 7, pp. 1243-1253
Persistent link: https://www.econbiz.de/10012194760
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Weighing asset pricing factors : a least squares model averaging approach
Qiu, Yue; Ren, Yu; Xie, Tian - In: Quantitative finance 19 (2019) 10, pp. 1673-1687
Persistent link: https://www.econbiz.de/10012194816