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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

Discovering the drivers of stock market volatility in a data-rich world

Chun, Dohyun; Cho, Hoon; Ryu, Doojin - In: Journal of international financial markets, … 82 (2023), pp. 1-24

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Correlation based clustering of the Amman stock exchange

Abdoh, Hussein A. - In: International journal of economics and financial issues … 7 (2017) 2, pp. 259-265

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Empirical analysis of risk measurement of Chinese mutual funds

Yang, Ju - In: Quantitative financial risk management, (pp. 3-14). 2011

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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

The timing ability and global performance of Tunisian mutual fund managers : a multivarate GARCH approach

Queslati, Abdelmonem; Hammami, Yacine; Jilani, Faouzi - In: Research in international business and finance 31 (2014), pp. 57-73

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Dynamic hedge fund portfolio construction

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

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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?

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On mutual funds-of-ETFs asset allocation with rebalancing : sample covariance versus EWMA and GARCH

Xidonas, Panos; Tsionas, Mike; Zopounidis, Constantin - 2020

Persistent link: https://www.econbiz.de/10012165614

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