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Performance of default-risk measures : the sample matters

Abinzano, Isabel; Gonzalez-Urteaga, Ana; Muga, Luis; … - In: Journal of banking & finance 120 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012521486

When carry goes bad : the magnitude, causes, and duration of currency carry unwinds

Melvin, Michael; Shand, Duncan - 2016

, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown … duration is estimated. We find evidence that drawdown duration varies systematically with expected return from the carry trade …

Persistent link: https://www.econbiz.de/10011568722

Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling asset returns

Kapetanios, George; Pesaran, M. Hashem - In: The refinement of econometric estimation and test …, (pp. 239-281). 2007

Persistent link: https://www.econbiz.de/10003461881

Estimating a hedge fund return model based on a small number of samples

Levchenkov, Dmitriy; Coleman, Thomas F.; Li, Yuying - In: INFOR : information systems and operational research 47 (2009) 1, pp. 43-58

Persistent link: https://www.econbiz.de/10003959539

A triple-threshold leverage stochastic volatility model

Wu, Xin-Yu; Zhou, Hai-Lin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 483-500

Persistent link: https://www.econbiz.de/10011339413

Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

Kapetanios, George (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808264

Alternative approaches to estimation and inference in large multifactor panles : small sample results with an application to modelling of asset returns

Kapetanios, George (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808714

Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

Kapetanios, George (contributor); … - 2005

The tensions between books and book markets as expressions of culture and books as products in profit-making businesses are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for books through laws concerning prices of books, grants...

Persistent link: https://www.econbiz.de/10002734112

A critical reexamination of the return generating process of the arbitrage pricing theory

Diacogiannis, George P.; Prasad, Dev; Merikas, Andreas G.; … - In: Advances in international banking and finance 2 (1996), pp. 139-161

Persistent link: https://www.econbiz.de/10001208774

Adaptive polar sampling with an application to a Bayes measure of value-at-risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999

Persistent link: https://www.econbiz.de/10001430824

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