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Skewness in the conditional distribution of daily equity returns

Harris, Richard D. F.; Küçüközmen, C. Coskun; … - In: Applied financial economics 14 (2004) 3, pp. 195-202

Persistent link: https://www.econbiz.de/10001915495

A simplified approach to modeling the co-movement of asset returns

Harris, Richard D. F.; Stoja, Evarist; Tucker, Jon - In: The journal of futures markets 27 (2007) 6, pp. 575-598

Persistent link: https://www.econbiz.de/10003493113

Bias in the estimation of non-linear transformations of the integrated variance of returns

Harris, Richard D. F.; Guermat, Cherif - In: Journal of forecasting 25 (2006) 7, pp. 481-494

Persistent link: https://www.econbiz.de/10003394896

Dynamic hedge fund portfolio construction

Harris, Richard D. F.; Mazibas, Murat - In: International review of financial analysis 19 (2010) 5, pp. 351-357

Persistent link: https://www.econbiz.de/10009272647

The dynamic Black-Litterman approach to asset allocation

Harris, Richard D. F.; Stoja, Evarist; Tan, Linzhi - 2016

Persistent link: https://www.econbiz.de/10011480647

A Component Markov Regime-Switching Autoregressive Conditional Range Model

Harris, Richard D. F. - 2016

In this paper, we develop a component Markov switching conditional volatility model based on the intraday range and evaluate its performance in forecasting the weekly volatility of the S&P 500 index. We compare the performance of the range-based Markov switching model with that of a number of...

Persistent link: https://www.econbiz.de/10012979916

A component Markov regime-switching autoregressive conditional range model

Harris, Richard D. F.; Mazibas, Murat - In: Bulletin of economic research 74 (2022) 2, pp. 650-683

Persistent link: https://www.econbiz.de/10013188740