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Autoregressive conditional duration models for high frequency financial data : an empirical study on mid cap exchange traded funds

Nunkoo, Houmera Bibi Sabera; Gonpot, Preethee Nunkoo; … - In: Studies in economics and finance 39 (2022) 1, pp. 150-173

Persistent link: https://www.econbiz.de/10012798505

How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas

Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14

Persistent link: https://www.econbiz.de/10010338365

Stock selection and timing ability of the Taiwan equity funds : the application of stochastic beta, GARCH, and nonlinear GLS

Goo, Yeong-Jia; Chang, Feng-Huei; Chiu, Kuo-Liang - In: Modern economy 6 (2015) 2, pp. 153-164

Persistent link: https://www.econbiz.de/10011286014

Dynamic hedge fund portfolio construction

Harris, Richard D. F.; Mazibas, Murat - In: International review of financial analysis 19 (2010) 5, pp. 351-357

Persistent link: https://www.econbiz.de/10009272647

Volatility timing in CPF investment funds in Singapore : do they outperform non-CPF funds?

Shen, Xiaoyi; Tsui, Albert K.; Zhang, Zhaoyong - In: Risks : open access journal 7 (2019) 4/106, pp. 1-16

The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central Provident Fund (CPF) Investment Scheme and non-CPF linked funds by taking into account the currency risk effect on internationally managed funds. In particular, we empirically...

Persistent link: https://www.econbiz.de/10012127925

Long-term negative fund alpha : is it caused by bad skill or bad luck?

Bu, Qiang - In: Financial markets and portfolio management 32 (2018) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10011951784

Are VaR models effective in capturing downside risk in alternative investment funds? : insights from a cross-country study

Panda, Amrit; Deb, Soumya Guha - In: International journal of financial engineering 11 (2024) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014574970

Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds

Petrova, Mariana; Todorov, Teodor - In: Risks : open access journal 11 (2023) 11, pp. 1-30

The relevance of the development is determined by the possibility of testing a complex analytical methodology for forecasting the daily volatility of Bulgarian investment funds, which will support the investment community in making adequate investment decisions. The used risk attribution...

Persistent link: https://www.econbiz.de/10014436423

Value at risk of the main stock market indexes in the European Union ; (2000 - 2012)

Iglesias, Emma M. - In: Journal of policy modeling : JPMOD ; a social science … 37 (2015) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10011333008

Announcements of ECB unconventional programs : implications for the sovereign risk of Italy

Falagiarda, Matteo; Reitz, Stefan - 2013

sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and … of Italy. …

Persistent link: https://www.econbiz.de/10009783711

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