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Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and CVaR-based risk control
Chen, Zhiping - In: OR spectrum : quantitative approaches in management 27 (2005) 4, pp. 603-632
Persistent link: https://www.econbiz.de/10003025394
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Analyzing commodity futures and stock market indices : hedging strategies using asymmetric dynamic conditional correlation models
Alshammari, Saad; Obeid, Hassan - In: Finance research letters 56 (2023), pp. 1-7
Persistent link: https://www.econbiz.de/10014473654
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Feedback trading and closed-end country fund returns
Reyes, Mario - In: Journal of emerging markets 13 (2008) 3, pp. 47-58
Persistent link: https://www.econbiz.de/10003823713
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Empirical analysis of risk measurement of Chinese mutual funds
Yang, Ju - In: Quantitative financial risk management, (pp. 3-14). 2011
Persistent link: https://www.econbiz.de/10009301459
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Stock selection and timing ability of the Taiwan equity funds : the application of stochastic beta, GARCH, and nonlinear GLS
Goo, Yeong-Jia; Chang, Feng-Huei; Chiu, Kuo-Liang - In: Modern economy 6 (2015) 2, pp. 153-164
Persistent link: https://www.econbiz.de/10011286014
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Mutual fund performance in Tunisia : a multivariate GARCH approach
Hammami, Yacine; Jilani, Faouzi; Oueslati, Abdelmonem - In: Research in international business and finance 29 (2013), pp. 35-51
Persistent link: https://www.econbiz.de/10009759915
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Relations between volatility and returns of exchange traded funds of emerging markets and of USA
Dheeriya, Prakash L.; Rezayat, Fahimeh; Yavas, Burhan F. - In: Review of economics & finance (2014) 1, pp. 44-56
Persistent link: https://www.econbiz.de/10010353498
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The timing ability and global performance of Tunisian mutual fund managers : a multivarate GARCH approach
Queslati, Abdelmonem; Hammami, Yacine; Jilani, Faouzi - In: Research in international business and finance 31 (2014), pp. 57-73
Persistent link: https://www.econbiz.de/10010434018
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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
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Common Volatility between Closed-End Country Funds and Three Comparable Return Series : An Empirical Investigation
Kim, Doseong - 2009
The study of international integration of equity markets has received a great deal of interest. This paper investigates whether returns of 41 closed-end country funds share a common volatility process with three comparable return-series: the underlying net asset value (NAV), the U.S., and the...
Persistent link: https://www.econbiz.de/10013155914