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When does investor sentiment predict stock returns?

Chung, San-lin; Hung, Chi-hsiou; Yeh, Chung-ying - In: Journal of empirical finance 19 (2012) 2, pp. 217-240

Persistent link: https://www.econbiz.de/10009615715

A threshold model approach to estimating the abnormal stock returns

Chong, Terence Tai-Leung; Mak, Wing Hei; Yan, Isabel K. M. - In: Annals of financial economics 8 (2013) 1, pp. 1-17

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Predictability hidden by anomalous observations

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013 - This version: March 2013

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Hybrid historical simulation VaR and ES : performance in developed and emerging markets

Zikovic, Sasa; Filer, Randall Keith - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

Persistent link: https://www.econbiz.de/10003891679

Performance hypothesis testing with the sharpe ratio : the case of hedge funds

Auer, Benjamin R.; Schuhmacher, Frank - In: Finance research letters 10 (2013) 4, pp. 196-208

Persistent link: https://www.econbiz.de/10010252332

CAPM with fuzzy returns and hypothesis testing

Moussa, A. Mbairadjim; Kamdem, J. Sadefo; Shapiro, A. F.; … - In: Insurance 55 (2014), pp. 40-57

Persistent link: https://www.econbiz.de/10010366209

Theoretical and empirical estimates of mean-variance portfolop sensitivity

Palczewski, Andrej; Palczewski, Jan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 402-410

Persistent link: https://www.econbiz.de/10010356745

Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264

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Better risk and performance estimates with factor-model Monte Carlo

Jiang, Yindeng; Martin, Doug - In: Journal of risk 17 (2014/2015) 5, pp. 29-67

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Variance targeting estimation of multivariate GARCH models

Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 353-382

Persistent link: https://www.econbiz.de/10011589013