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A chaos analysis for Greek and Turkish equity markets
Ozun, Alper; Hanias, Mike P.; Curtis, Panayiotis G. - In: EuroMed journal of business 5 (2010) 1, pp. 101-118
Persistent link: https://www.econbiz.de/10003984692
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Stochastic chaos or ARCH effects in stock series? : A comparative study
Kyrtsou, Catherine; Terraza, Michel - In: International review of financial analysis 11 (2002) 4, pp. 407-431
Persistent link: https://www.econbiz.de/10001745102
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Small caps in international equity portfolios : the effects of variance risk
Guidolin, Massimo (contributor);  … - 2007 - Rev.
Persistent link: https://www.econbiz.de/10003739548
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Improving density forecast by modeling asymmetric features : an application to S&P500 returns
Hua, Zhongsheng; Zhang, Bin - In: European journal of operational research : EJOR 185 (2008) 2, pp. 716-725
Persistent link: https://www.econbiz.de/10003769231
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Small caps in international equity portfolios : the effects of variance risk
Guidolin, Massimo; Nicodano, Giovanna - In: Annals of finance 5 (2009) 1, pp. 15-48
Persistent link: https://www.econbiz.de/10003775308
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A generalized extreme value approach to financial risk measurement
Bali, Turan G. - In: Journal of money, credit and banking : JMCB 39 (2007) 7, pp. 1613-1649
Persistent link: https://www.econbiz.de/10003549211
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Predictable return distributions
Pedersen, Thomas Q. - 2010
Persistent link: https://www.econbiz.de/10008651717
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Expected idiosyncratic skewness
Boyer, Brian H.; Mitton, Todd; Vorkink, Keith - In: The review of financial studies 23 (2010) 1, pp. 169-202
Persistent link: https://www.econbiz.de/10003941604
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Predictability, non-normality, volatility and stability in emerging Asian markets
Kiani, Khurshid M. - In: Malaysian journal of economic studies 44 (2007) 2, pp. 67-94
Persistent link: https://www.econbiz.de/10003941786
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Multivariate asset return prediction with mixture models
Paolella, Marc S. - 2011
The use of mixture distributions for modeling asset returns has a long history in finance. New methods of demonstrating support for the presence of mixtures in the multivariate case are provided. The use of a two-component multivariate normal mixture distribution, coupled with shrinkage via a...
Persistent link: https://www.econbiz.de/10009375153