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Copula modelling to analyse financial data

Dewick, Paul R.; Liu, Shuangzhe - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-11

transformation. Financial time-series copula modelling uses pseudo-CDFs due to the standardized time-series residuals being centred … around zero. The standardized residuals inhibit the estimation of the possible distributions required for constructing the …

Persistent link: https://www.econbiz.de/10013161689

Cross-sectional and time-series momentum returns : are Islamic stocks different?

Cheema, Muhammad A.; Nartea, Gilbert V. - In: Applied economics 50 (2018) 54, pp. 5830-5845

Persistent link: https://www.econbiz.de/10012062915

Out-of-sample stock return prediction using higher-order moments

Faias, José Afonso; Castel-Branco, Tiago - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-27

Persistent link: https://www.econbiz.de/10011926608

Time-series and cross-sectional momentum and contrarian strategies within the commodity futures markets

Rosales, Enrique Benavides - In: Cogent economics & finance 5 (2017) 1, pp. 1-32

The aim within this paper is to analyze the difference between momentum and contrarian portfolios constructed under the cross-sectional and time-series analysis, within the commodity futures markets. The returns indicate that the contrarian portfolios are the most profitable, as well as it’s...

Persistent link: https://www.econbiz.de/10011881559