Similar Search Results

Quantile relationships between standard, diffusion and jump betas across Japanese banks

Chowdhury, Biplob; Jeyasreedharan, Nagaratnam; Dungey, … - In: Journal of Asian economics 59 (2018), pp. 29-47

Persistent link: https://www.econbiz.de/10012102893

On the cross-sectional relation between expected returns, betas, and size

Grauer, Robert R. - In: The journal of finance : the journal of the American … 54 (1999) 2, pp. 773-789

Persistent link: https://www.econbiz.de/10001367865

Estimating Private Equity Market Beta Using Cash Flows : A Cross-Sectional Regression of Fund-Market Paired Internal Rates of Return

Jiang, Yindeng - 2014

We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the widely known public market equivalent calculation to a cross-sectional regression. By simply regressing funds' internal rates of return on their paired market internal rates of...

Persistent link: https://www.econbiz.de/10013054634

Re-examining covariance risk dynamics in international stock markets using quantile regression analysis

Li, Ming-yuan Leon; Yen, Stéphane Meng-feng - In: Acta oeconomica : periodical of the Hungarian Academy … 61 (2011) 1, pp. 33-59

Persistent link: https://www.econbiz.de/10009303870

Hedge fund systemic risk signals

Savona, Roberto - In: European journal of operational research : EJOR 236 (2014) 1, pp. 282-291

Persistent link: https://www.econbiz.de/10010361715

Cross-sectional regression of returns on betas and portfolio grouping procedures

Hur, Jungshik; Kumar, Raman; Vivek Singh - In: International journal of business and systems research 8 (2014) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10010423288

Reexamining covariance risk dynamics in global stock markets using quantile regression analysis

Li, Ming-yuan Leon - In: Emerging markets : identification, new developments and …, (pp. 57-80). 2010

Persistent link: https://www.econbiz.de/10009563149

Risk-return characteristics : comparison of China's stock market and three other emerging markets

Shum, Wai Cheong; Tang, Gordon Y. N. - In: The Chinese economy 43 (2010) 5, pp. 15-31

Persistent link: https://www.econbiz.de/10009297656

Arbitrage pricing theory in ergodic markets

Frahm, Gabriel - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-28

Persistent link: https://www.econbiz.de/10011903768

On asymmetric market model with heteroskedasticity and quantile regression

Chen, Cathy W. S.; Li, Muyi; Nguyen, Nga T. H.; Songsak … - In: Computational economics 49 (2017) 1, pp. 155-174

Persistent link: https://www.econbiz.de/10011751821