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Can tail risk explain size, book‐to‐market, momentum, and idiosyncratic volatility anomalies?

Aboura, Sofiane; Arisoy, Y. Eser - In: Journal of Business Finance & Accounting 46 (2019) 9-10, pp. 1263-1298

Persistent link: https://www.econbiz.de/10012093250

THE REACTIVE BETA MODEL

Valeyre, Sebastien; Aboura, Sofiane; Grebenkov, Denis - In: Journal of Financial Research 42 (2019) 1, pp. 71-113

Persistent link: https://www.econbiz.de/10012093681

Portfolio allocation across variance risk premia

Chevallier, Julien; Vo, Dinh-Tri - In: The Journal of Risk Finance 20 (2019) 5, pp. 556-593

Purpose: In asset management, what if clients want to purchase protection from risk factors, under the form of variance risk premia. This paper aims to address this topic by developing a portfolio optimization framework based on the criterion of the minimum variance risk premium (VRP) for any...

Persistent link: https://www.econbiz.de/10012187539

Enriching the value‐at‐risk framework to ensemble empirical mode decomposition with an application to the European carbon market

Zhu, Bangzhu; Wang, Ping; Chevallier, Julien; Wei, Yi‐Ming - In: International Journal of Finance & Economics (2021)

Persistent link: https://www.econbiz.de/10012632797

Enriching the VaR framework to EEMD with an application to the European carbon market

Zhu, Bangzhu; Wang, Ping; Chevallier, Julien; Wei, Yi-Ming - In: International Journal of Finance & Economics 23 (2018) 3, pp. 315-328

Persistent link: https://www.econbiz.de/10012082625

Allocating provincial CO2 quotas for the Chinese national carbon program

Jiang, Minxing; Zhu, Bangzhu; Chevallier, Julien; Xie, Rui - In: Australian Journal of Agricultural and Resource Economics 62 (2018) 3, pp. 457-479

Persistent link: https://www.econbiz.de/10012085530

Global economic policy uncertainty and gold futures market volatility : Evidence from Markov regime‐switching GARCH‐MIDAS models

Ma, Feng; Lu, Xinjie; Wang, Lu; Chevallier, Julien - In: Journal of Forecasting 40 (2021) 6, pp. 1070-1085

Persistent link: https://www.econbiz.de/10012406778

Forecasting carbon price using a multi‐objective least squares support vector machine with mixture kernels

Zhu, Bangzhu; Ye, Shunxin; Wang, Ping; Chevallier, Julien; … - In: Journal of Forecasting 41 (2021) 1, pp. 100-117

Persistent link: https://www.econbiz.de/10012535186