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Implied equity duration as a measure of risk and its simultaneous endogeneity with performance in European companies
Reis, Pedro - In: International journal of economics and business … 19 (2020) 3, pp. 313-333
Persistent link: https://www.econbiz.de/10012205624
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When carry goes bad : the magnitude, causes, and duration of currency carry unwinds
Melvin, Michael; Shand, Duncan - 2016
, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown … duration is estimated. We find evidence that drawdown duration varies systematically with expected return from the carry trade …
Persistent link: https://www.econbiz.de/10011568722
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A critical reexamination of the return generating process of the arbitrage pricing theory
Diacogiannis, George P.; Prasad, Dev; Merikas, Andreas G.; … - In: Advances in international banking and finance 2 (1996), pp. 139-161
Persistent link: https://www.econbiz.de/10001208774
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Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999
Persistent link: https://www.econbiz.de/10001430824
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …
Persistent link: https://www.econbiz.de/10002734112
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808264
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Alternative approaches to estimation and inference in large multifactor panles : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808714
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Non-Random Sampling and Association Tests on Realized Returns and Risk Proxies
Ecker, Frank - 2020
results. We illustrate the effects of non-random sampling on results of association tests in a setting with data on one … distribution-matched samples yield generalizable results. We demonstrate the effects of non-random sampling in tests of the …
Persistent link: https://www.econbiz.de/10012834225
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Sample Selection Bias, Return Moments, and the Performance of Optimal versus Naive Diversification
Li, Bowei - 2016
I examine the sample selection bias in portfolio horse race. Numerous studies propose mean-variance portfolio rules to outperform the naive 1/N portfolio rule. However, the outperformance is often justified by a small number of pre-selected datasets. Using a new performance test based on a large...
Persistent link: https://www.econbiz.de/10012984969
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Incorporating overnight and intraday returns into multivariate GARCH volatility models
Dhaene, Geert; Wu, Jianbin - In: Journal of econometrics 217 (2020) 2, pp. 471-495
Persistent link: https://www.econbiz.de/10012482817