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The determinants of quantile autocorrelations : evidence from the UK

Ge̜bka, Bartosz; Wohar, Mark E. - In: International review of financial analysis 29 (2013), pp. 51-61

Persistent link: https://www.econbiz.de/10010244128

Foreign exchange risk and the predictability of carry trade returns

Cenedese, Gino; Sarno, Lucio; Tsiakas, Ilias - In: Journal of banking & finance 42 (2014), pp. 302-313

Persistent link: https://www.econbiz.de/10010408374

Exact inference in long-horizon predictive quantile regressions with an application to stock returns

Gungor, Sermin; Luger, Richard - In: Journal of financial econometrics 19 (2021) 4, pp. 746-788

Persistent link: https://www.econbiz.de/10012654991

Quantile- based portfolios : post- model- selection estimation with alternative specifications

Bonaccolto, Giovanni - In: Computational management science 18 (2021) 3, pp. 355-383

Persistent link: https://www.econbiz.de/10012615139

An approximate long-memory range-based approach for value at risk estimation

Meng, Xiaochun; Taylor, James W. - In: International journal of forecasting 34 (2018) 3, pp. 377-388

Persistent link: https://www.econbiz.de/10012030985

Fractile graphical analysis in finance : a new perspective with applications

Bera, Anil K.; Ghosh, Aurobindo - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-20

Fractile Graphical Analysis (FGA) was proposed by Prasanta Chandra Mahalanobis in 1961 as a method for comparing two distributions at two different points (of time or space) controlling for the rank of a covariate through fractile groups. We use bootstrap techniques to formalize the heuristic...

Persistent link: https://www.econbiz.de/10013401813