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Hedge and safe haven properties of gold, US Treasury, Bitcoin, and Dollar/CHF against the FAANA companies and S&P 500
Yousaf, Imran; Plakandaras, Vasilios; Bouri, Elie; … - 2022
Persistent link: https://www.econbiz.de/10013253752
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Tests of mean-variance efficiency of international equity markets
Engel, Charles; Rodrigues, Anthony P. - 1990
Persistent link: https://www.econbiz.de/10000811364
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Conditional mean-variance efficiency of the US stock market
Engel, Charles; Frankel, Jeffrey A.; Froot, Kenneth; … - 1989
Persistent link: https://www.econbiz.de/10000762682
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Tests of mean-variance efficiency of international equity markets
Engel, Charles - In: Oxford economic papers 45 (1993) 3, pp. 403-421
Persistent link: https://www.econbiz.de/10001154829
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Tests of mean-variance efficiency of international equity markets
Engel, Charles; Rodrigues, Anthony P. - 1992
Persistent link: https://www.econbiz.de/10000854283
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The Constrained Asset Share Estimation (Case) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market
Engel, Charles M. - 2010
We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the stock market. This method allows conditional expected returns to vary in relatively unrestricted ways. The data estimate reasonably the price of risk, and, in some cases, the MVE...
Persistent link: https://www.econbiz.de/10012763456
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Evolution of price effects after one-day abnormal returns in the US stock market
Plastun, Alex; Sibande, Xolani; Gupta, Rangan; Wohar, … - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012822169
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Predicting international equity returns: evidence from time-varying parameter vector autoregressive models
Gupta, Rangan; Huber, Florian; Piribauer, Philipp - In: International review of financial analysis 68 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012300967
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Does debt ceiling and government shutdown help in forecasting the US equity risk premium?
Aye, Goodness C.; Deale, Frederick W.; Gupta, Rangan - In: Panoeconomicus 63 (2016) 3, pp. 273-291
Persistent link: https://www.econbiz.de/10011582003
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The Constrained Asset Share Estimation (CASE) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market
Engel, Charles - 1993
We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the stock market. This method allows conditional expected returns to vary in relatively unrestricted ways. The data estimate reasonably the price of risk, and, in some cases, the MVE...
Persistent link: https://www.econbiz.de/10012474666