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Basic assets
Ahn, Dong-Hyun; Conrad, Jennifer S.; Dittmar, Robert F. - In: The review of financial studies 22 (2009) 12, pp. 5133-5174
Persistent link: https://www.econbiz.de/10003916318
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Simulation of Historical Time Series Using MPRE, A Focus on Correlation in Squared Returns
Pantanella, Alexandre - 2011
correlation in returns. The empirical analysis spotlights that a probable link between the previous two stylized facts and the …
Persistent link: https://www.econbiz.de/10013122439
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Constant correlation model for optimal portfolio formation and expected shortfall risk measurement4Dempirical evidence from Indonesian Stock Marke
Devita, Febrina; Wilandari, Yuciana; Maruddani, Di Asih I - In: Financial studies 27 (2023) 3, pp. 25-39
stocks and then forming a portfolio. One method to form an optimal portfolio is by using the Constant Correlation Model (CCM …) method. The CCM method focuses on the correlation between stocks and the Excess Return to Standard Deviation (ERS) value …
Persistent link: https://www.econbiz.de/10014506648
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Testing rebalancing strategies for stock-bond portfolios across different asset allocations
Dichtl, Hubert; Drobetz, Wolfgang; Wambach, Martin - In: Applied economics 48 (2016) 7/9, pp. 772-788
Persistent link: https://www.econbiz.de/10011414025
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Characteristic-sorted portfolios : estimation and inference
Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...
Persistent link: https://www.econbiz.de/10011523775
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Semiparametric estimation of risk-return relationships
Escanciano, Juan Carlos; Pardo-Fernández, Juan Carlos; … - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 40-52
Persistent link: https://www.econbiz.de/10011704099
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Robust econometric inference for stock return predictability
Kostakis, Alexandros; Magdalinos, Tassos; … - In: The review of financial studies 28 (2015) 5, pp. 1506-1553
Persistent link: https://www.econbiz.de/10011338192
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Estimation and inference about tail features with tail censored data
Wang, Yulong; Xiao, Zhijie - 2020 - This version: March 2020
Persistent link: https://www.econbiz.de/10012231154
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Identification and inference in two-pass asset pricing models
Khalaf, Lynda; Schaller, Huntley - In: Journal of economic dynamics & control 70 (2016), pp. 165-177
Persistent link: https://www.econbiz.de/10011708673
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Out-of-sample equity premium predictability and sample split-invariant inference
Kolev, Gueorgui I.; Karapandža, Raša - In: Journal of banking & finance 84 (2017), pp. 188-201
Persistent link: https://www.econbiz.de/10011816844