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Nonlinear and time-varying risk premia
Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30
Persistent link: https://www.econbiz.de/10012607208
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A portfolio optimization model based on information entropy and fuzzy time series
Zhou, Rongxi; Yang, Zebin; Yu, Mei; Ralescu, Dan A. - In: Fuzzy optimization and decision making : a journal of … 14 (2015) 4, pp. 381-397
Persistent link: https://www.econbiz.de/10011538467
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Measuring financial interdependence in asset returns with an application to euro zone equities
Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling; Martin, Vance - 2018
Persistent link: https://www.econbiz.de/10012201943
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Modeling time-varying higher-order conditional moments : a survey
Soltyk, Sylvia J.; Chan, Felix - In: Journal of economic surveys 37 (2023) 1, pp. 33-57
Persistent link: https://www.econbiz.de/10014287767
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The forward- and the equity-premium puzzles : a straightforward test of whether they are two symptoms of the same illness
Costa, Carlos E. da; Issler, João Victor; Matos, Paulo - 2013
Persistent link: https://www.econbiz.de/10011452172
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A note on the forward and the equity-premium puzzles : two symptoms of the same illness?
Costa, Carlos E. da; Issler, João Victor; Matos, Paulo - 2013
Persistent link: https://www.econbiz.de/10011455904
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Modelling multivariate skewness in financial returns : a SGARCH approach
De Luca, Giovanni; Loperfido, Nicola - In: The European journal of finance 21 (2015) 13/15, pp. 1113-1131
Persistent link: https://www.econbiz.de/10011419767
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Is a night better than a day : empirical evidence
Deshkovski, A.; Dzeshkovskaia, A. - In: Cogent economics & finance 2 (2014) 1, pp. 2-10
In this study, we analyze the portfolio allocation based on time asymmetry of stock characteristics. In particular, we analyzed the empirical data of changes in financial stock prices during the day period and during the night period and have found that characteristics such as mean and variance...
Persistent link: https://www.econbiz.de/10010474316
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Macroeconomic development and stock market performance : a non-parametric approach
Adu, George; Marbuah, George; Mensah, Justice Tei; … - 2013
This paper applies a local-linear non-parametric kernel regression technique to examine the effect of macroeconomic …
Persistent link: https://www.econbiz.de/10011526923
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Do cay and cayMS predict stock and housing returns? : evidence from a nonparametric causality test
Balcilar, Mehmet; Gupta, Rangan; Sousa, Ricardo M.; … - In: International review of economics & finance : IREF 48 (2017), pp. 269-279
Persistent link: https://www.econbiz.de/10011747274