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Size, value and momentum in stock returns : evidence from India
Das, Sudipta; Barai, Parama - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 284-302
Persistent link: https://www.econbiz.de/10011583841
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Wavelet decomposition of heterogeneous investment horizon
Chen, W. D.; Li, H. C. - In: Journal of economics and finance 40 (2016) 4, pp. 714-734
Persistent link: https://www.econbiz.de/10011659067
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Attribution of hedge fund returns using a Kalman filter
Thomson, Daniel; Van Vuuren, Gary - In: Applied economics 50 (2018) 9, pp. 1043-1058
Persistent link: https://www.econbiz.de/10011848239
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Risk factor exposure variation and mutual fund performance
Ammann, Manuel; Fischer, Sebastian; Weigert, Florian - 2018
We investigate the relationship between a mutual fund’s variation in systematic risk factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)’s four factor model to capture risk factor variation, we find that funds with volatile risk factor exposures...
Persistent link: https://www.econbiz.de/10011906504
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Value at risk under heterogeneous investment horizons and spatial relations
Fernández, Viviana - In: The VaR implementation handbook, (pp. 463-483). 2009
Persistent link: https://www.econbiz.de/10003827101
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Integration versus segmentation in China's stock market : an analysis of time-varying beta risks
Li, Hong - In: Journal of international financial markets, … 25 (2013), pp. 88-105
Persistent link: https://www.econbiz.de/10009762803
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Oil price volatility and the dynamic systematic risk in Kuwait's equity sector portfolio using the Kalman filter approach
Alsarhan, Abdulwahab A.; Khalifa, Ahmed A. A.; Al-Titi, Omar - In: American journal of finance and accounting 3 (2013/14) 1, pp. 24-40
Persistent link: https://www.econbiz.de/10010403324
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Forecasting equity risk premium : a new method based on wavelet de-noising
Dai, Zhifeng; Kang, Jie; Yin, Hua - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 4331-4352
Persistent link: https://www.econbiz.de/10014429334
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Disagreements with noisy signals and asset pricing
Wang, Hailong; Hu, Duni; Ma, Chaoqun; Cheng, Fengchao - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-35
Persistent link: https://www.econbiz.de/10012659556
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The macroeconomic drivers in hedge fund beta management
Lambert, Marie; Platania, Federico - In: Economic modelling 91 (2020), pp. 65-80
Persistent link: https://www.econbiz.de/10012429017