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Forecasting volatility and the risk-return tradeoff : an application on the Fama-French benchmark market return
Vafiadis, Nikolaos - In: Journal of time series econometrics 7 (2015) 2, pp. 181-216
Persistent link: https://www.econbiz.de/10011291298
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Long memory or regime switching in volatility? : evidence from high-frequency returns on the U.S. stock indices
Gao, Guangyuan; Ho, Kin-Yip; Shi, Yanlin - In: Pacific-Basin finance journal 61 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012494892
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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
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Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279
Persistent link: https://www.econbiz.de/10011808179
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Scaling by the square-root-of-time rule : an empirical investigation using five market indexes
Cameron, James; Gulati, Chandra M.; Lin, Yan-xia - In: Journal of risk 19 (2016) 2, pp. 61-80
Persistent link: https://www.econbiz.de/10013177083
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Risk adjusted momentum strategies : a comparison between constant and dynamic volatility scaling approaches
Fan, Minyou; Li, Youwei; Liu, Jiadong - In: Research in international business and finance 46 (2018), pp. 131-140
Persistent link: https://www.econbiz.de/10011983588
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Managing downside risk of low-risk anomaly portfolios
Kim, Hyuksoo; Kim, Saejoon - In: Finance research letters 46 (2022) 2, pp. 1-11
Persistent link: https://www.econbiz.de/10013341589
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The impact of volatility scaling on factor portfolio performance and factor timing
Nucera, Federico; Uhl, Björn - In: The journal of asset management : a major new, … 23 (2022) 6, pp. 522-533
Persistent link: https://www.econbiz.de/10013392128
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Predictability of Turkish foreign exchange and its implications to option pricing and arbitrage opportunities
Horasanlı, Mehmet - In: Central Bank review / The Central Bank of the Republic … 6 (2006) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10003506918
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Testing purchasing power parity in a DFA rolling Hurst framework : the case of 23 OECD countries
Gkonkas, Periklēs; Papadimitriou, Theophilos; … - In: Applied financial economics 23 (2013) 16/18, pp. 1399-1406
Persistent link: https://www.econbiz.de/10010259398