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A Mathematical and Empirical Analysis of Rebalancing Alpha
Qian, Edward E. - 2015
Rebalancing alpha is the excess return of a fixed-weight portfolio, which is regularly rebalanced, over its buy-and-hold counterpart. Two kinds of effects, both results of portfolio rebalancing, contribute to rebalancing alpha. The first is a volatility effect that arises from randomness of...
Persistent link: https://www.econbiz.de/10013031203
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Term structure modeling and estimation in a state space framework
Lemke, Wolfgang - 2005
Persistent link: https://www.econbiz.de/10003000929
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Testing continuous time models in financial markets
Kleinow, Torsten (contributor) - 2002
Persistent link: https://www.econbiz.de/10001722799
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Assets, beliefs, and equilibria in economic dynamics : essays in honor of Mordecai Kurz ; [presented in a special symposium co-hosted by the Stanford University Department of Econo...
Aliprantis, Charalambos D. (ed.); Kurz, Mordecai (honouree) - 2004
Persistent link: https://www.econbiz.de/10001782373
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Scaling laws in stock markets : an analysis of prices and volumes
Bianchi, Sergio; Pianese, Augusto - In: Mathematical and statistical methods in insurance and …, (pp. 35-42). 2008
Persistent link: https://www.econbiz.de/10003837054
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Artificial neutral networks for some macroeconomic series : a first report
Maasoumi, Esfandiar - In: Econometric reviews 13 (1994) 1, pp. 105-122
Persistent link: https://www.econbiz.de/10001158125
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The incorporation of risk into the clean-surplus valuation model : evidence from UK stocks
Spilioti, Stella N. - In: Investment management and financial innovations 7 (2010) 3, pp. 82-90
Persistent link: https://www.econbiz.de/10008841296
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Are residual economic relationships normally distributed? : testing an assumption of neoclassical economics
Bundt, Thomas P.; Murphy, Robert P. - In: The review of Austrian economics 21 (2008) 4, pp. 329-340
Persistent link: https://www.econbiz.de/10003797862
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The Gross Domestic Product surface : (GDP-Surface)
Estrada, Mario Arturo Ruiz - In: International journal of economic research 6 (2009) 2, pp. 279-291
Persistent link: https://www.econbiz.de/10003960450
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Multivariate maximum entropy densities applied for multivariate analysis of financial time series
Gao, Yang - 2014 - 1. Aufl.
Persistent link: https://www.econbiz.de/10010383443