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Rebalancing effects of commodity indices on open interest, volume and prices
Schmid, Florian; Mayer, Herbert Georg; Wanner, Markus; … - In: The European journal of finance 29 (2023) 10, pp. 1187-1206
Persistent link: https://www.econbiz.de/10014322995
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Time-varying factor models for equity portfolio construction
Ebner, Markus; Neumann, Thorsten - In: The European journal of finance 14 (2008) 5/6, pp. 381-395
Persistent link: https://www.econbiz.de/10003771720
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Robust portfolio estimation under skew-normal return processes
Taniguchi, Masanobu; Petkovic, Alexandre; Kase, Takehiro; … - In: The European journal of finance 21 (2015) 13/15, pp. 1091-1112
Persistent link: https://www.econbiz.de/10011419752
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Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model
Bodnar, Taras; Gupta, Arjun K. - In: The European journal of finance 21 (2015) 13/15, pp. 1176-1194
Persistent link: https://www.econbiz.de/10011419827
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Multivariate asset return prediction with mixture models
Paolella, Marc S. - In: The European journal of finance 21 (2015) 13/15, pp. 1214-1252
Persistent link: https://www.econbiz.de/10011419842
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Markowitz versus Michaud : portfolio optimization strategies reconsidered
Becker, Franziska; Gürtler, Marc; Hibbeln, Martin - In: The European journal of finance 21 (2015) 4/6, pp. 269-291
Persistent link: https://www.econbiz.de/10010528202
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A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
Bonato, M.; Caporin, Massimiliano; Ranaldo, Angelo - In: The European journal of finance 18 (2012) 9/10, pp. 761-774
Persistent link: https://www.econbiz.de/10009691781
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Forecasting implied volatility in foreign exchange markets : a functional time series approach
Kearney, Fearghal; Cummins, Mark; Murphy, Finbarr - In: The European journal of finance 24 (2018) 1/3, pp. 1-18
Persistent link: https://www.econbiz.de/10012244257
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Improving financial volatility nowcasts
Kruse-Becher, Robinson; Liu, Yuze - In: The European journal of finance 30 (2024) 2, pp. 101-126
Persistent link: https://www.econbiz.de/10014547345
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Reactive global minimum variance portfolios with k-BAHC covariance cleaning
Bongiorno, Christian; Challet, Damien - In: The European journal of finance 28 (2022) 13/15, pp. 1344-1360
Persistent link: https://www.econbiz.de/10013532213