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Gaussian rank correlation and regression
Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020
Persistent link: https://www.econbiz.de/10012232995
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Gaussian rank correlation and regression
Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020
Persistent link: https://www.econbiz.de/10012308723
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Gaussian rank correlation and regression
Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - In: Essays in honor of M. Hashem Pesaran : panel modeling, …, (pp. 269-306). 2022
Persistent link: https://www.econbiz.de/10013194599
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Risk measures in finance : congruent or contrasting?
Lalwani, Vaibhav; Bedi, Prateek; Shankar, Devesh - In: Business analyst : a refereed journal of Shri Ram … 39 (2018) 1, pp. 165-180
Persistent link: https://www.econbiz.de/10012391033
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The dynamics of volatility and correlation during periods of crisis : implications for active asset management
Esposito, Marcello - In: The journal of asset management 17 (2016) 3, pp. 135-140
Persistent link: https://www.econbiz.de/10011485140
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Sharper asset ranking from total drawdown durations
Challet, Damien - In: Applied mathematical finance 24 (2017) 1/2, pp. 1-22
Persistent link: https://www.econbiz.de/10011746991
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A modified Corrado test for assessing abnormal security returns
Ataullah, Ali; Song, Xiaojing; Tippett, Mark - In: The European journal of finance 17 (2011) 7/8, pp. 589-601
Persistent link: https://www.econbiz.de/10009509842
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Information theoretic ranking of extreme value returns
Kayal, Parthajit; Dutta, Sumanjay; Khandelwal, Vipul; … - In: Journal of quantitative economics 19 (2021) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10012489842
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Efficient modeling of cross-sectional stock returns via Reduced Rank (Seemingly Unrelated) Regression
Pezzo, Luca; Velu, Raja; Zhou, Zhaoque; Wang, Lei - 2022
We improve on the Instrumented Principal Component Analysis (IPCA) model developed in Kelly, Pruitt and Su (2019) by providing more efficient Generalized Least Square (GLS) estimators with a closed-form limiting distribution allowing for a more consistent (mis)pricing inference. The IPCA model...
Persistent link: https://www.econbiz.de/10013291474
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Information theoretic ranking of extreme value returns
Kayal, Parthajit; Dutta, Sumanjay; Khandelwal, Vipul; … - 2020
Persistent link: https://www.econbiz.de/10013470996