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Detecting bubbles via FDR and FNR based on calibrated p-values
Genoni, Giulia; Quatto, Piero; Vacca, Gianmarco - In: Quantitative finance 24 (2024) 10, pp. 1463-1491
Persistent link: https://www.econbiz.de/10015196936
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Tile test for back-testing risk evaluation
Zumbach, Gilles O. - In: Quantitative finance 21 (2021) 10, pp. 1605-1619
Persistent link: https://www.econbiz.de/10012653703
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Quantitative statistical robustness for tail-dependent law invariant risk measures
Wang, Wei; Xu, Huifu; Ma, Tiejun - In: Quantitative finance 21 (2021) 10, pp. 1669-1685
Persistent link: https://www.econbiz.de/10012653706
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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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Robust portfolio rebalancing with cardinality and diversification constraints
Zhao, Zhihua; Xu, Fengmin; Du, Donglei; Meihua, Wang - In: Quantitative finance 21 (2021) 10, pp. 1707-1721
Persistent link: https://www.econbiz.de/10012653708
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Optimal investment strategy in the family of 4/2 stochastic volatility models
Cheng, Yuyang; Escobar, Marcos - In: Quantitative finance 21 (2021) 10, pp. 1723-1751
Persistent link: https://www.econbiz.de/10012653709
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From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
Dandapani, Aditi; Jusselin, Paul; Rosenbaum, Mathieu - In: Quantitative finance 21 (2021) 8, pp. 1235-1247
Persistent link: https://www.econbiz.de/10012608638
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Learning the dynamics of technical trading strategies
Murphy, N. J.; Gebbie, T. J. - In: Quantitative finance 21 (2021) 8, pp. 1325-1349
Persistent link: https://www.econbiz.de/10012608650
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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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Active and passive portfolio management with latent factors
Al-Aradi, Ali; Jaimungal, S. - In: Quantitative finance 21 (2021) 9, pp. 1437-1459
Persistent link: https://www.econbiz.de/10012624145