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Dynamic asset allocation with ambiguous return predictability

Chen, Hui; Ju, Nengjiu; Miao, Jianjun - In: Review of economic dynamics 17 (2014) 4, pp. 799-823

Persistent link: https://www.econbiz.de/10011281431

Testing index-based models in UK stock returns

Davies, J. R.; Fletcher, Jonathan; Marshall, Andrew P. - In: Review of quantitative finance and accounting 45 (2015) 2, pp. 337-362

Persistent link: https://www.econbiz.de/10011333109

Time-varying weather effects on Thai government bond returns

Khanthavit, Anya - In: DLSU business & economics review 28 (2019) 2, pp. 122-132

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Is it alpha or beta? : decomposing hedge fund returns when models are misspecified

Ardia, David; Barras, Laurent; Gagliardini, Patrick; … - In: Journal of financial economics 154 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015072088

Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

Persistent link: https://www.econbiz.de/10011303289