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Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
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Stochastic portfolio theory and the low beta anomaly
Agapova, Anna; Ferguson, Robert; Leistikow, Dean - In: The European journal of finance 25 (2019) 5, pp. 415-434
Persistent link: https://www.econbiz.de/10012206986
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Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?
Faria, Gonçalo; Correira-da-Silva, João - In: The European journal of finance 22 (2016) 7/9, pp. 601-626
Persistent link: https://www.econbiz.de/10011619083
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Are fund managers incentivised to ignore stock market jumps?
Chondrogiannis, Ilias; Freeman, Mark; Vivian, Andrew - In: The European journal of finance 29 (2023) 15, pp. 1793-1823
Persistent link: https://www.econbiz.de/10014388504
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Forecasting variance using stochastic volatility and GARCH
Hansson, Björn A.; Hördahl, Peter - In: The European journal of finance 11 (2005) 1, pp. 33-57
Persistent link: https://www.econbiz.de/10002812475
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Implied volatilities, stochastic interest rates, and currency futures, options valuation : an empirical investigation
Bhargava, Vivek; Brooks, Robert; Malhotra, Davinder Kumar - In: The European journal of finance 7 (2001) 3, pp. 231-246
Persistent link: https://www.econbiz.de/10001603503
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Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements
Bonaccolto, G.; Caporin, Massimiliano; Zambon, N. - In: The European journal of finance 27 (2021) 11, pp. 1098-1116
Persistent link: https://www.econbiz.de/10012609265
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Testing for structural changes in exchange rates' dependence beyond linear correlation
Dias, Alexandra; Embrechts, Paul - In: The European journal of finance 15 (2009) 7/8, pp. 619-637
Persistent link: https://www.econbiz.de/10003924421
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Asymmetric dependence patterns in financial time series
Ammann, Manuel; Süss, Stephan - In: The European journal of finance 15 (2009) 7/8, pp. 703-719
Persistent link: https://www.econbiz.de/10003924429
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Spot exchange rate volatility, uncertain policies and export investment decision of firms : a mean-variance decision approach
Mukherjee, Subhadip; Mukherjee, Soumyatanu; Mishra, Tapas; … - In: The European journal of finance 27 (2021) 8, pp. 752-773
Persistent link: https://www.econbiz.de/10012516131