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Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns

Wollschläger, Marcel; Schäfer, Rudi - In: Journal of risk 19 (2016) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10011579750

Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303

Persistent link: https://www.econbiz.de/10003870055

Evidence of idiosyncratic seasonality in ETFs performance

Alves, Carlos; Reis, Duarte André de Castro - 2018 - Version: January 2018

Persistent link: https://www.econbiz.de/10011879147

Cross-sectional seasonalities and seasonal reversals : evidence from China

Guo, Shuxin; Yuan, Yue; Ma, Feng - In: International review of financial analysis 82 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013426257

Dynamic herding behavior in pacific-basin markets : evidence and implications

Chiang, Thomas C.; Li, Jiandong; Lin Tan; Nelling, Edward - In: Multinational finance journal : MF ; quarterly … 17 (2013) 3/4, pp. 165-200

Persistent link: https://www.econbiz.de/10011457676

Risk factor exposure variation and mutual fund performance

Ammann, Manuel; Fischer, Sebastian; Weigert, Florian - 2018

We investigate the relationship between a mutual fund’s variation in systematic risk factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)’s four factor model to capture risk factor variation, we find that funds with volatile risk factor exposures...

Persistent link: https://www.econbiz.de/10011906504