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The time-varying coefficient Fama - French five factor model : a case study in the return of Japan portfolios
Asama Liammukda; Manad Khamkong; Lampang Saenchan; … - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 10, pp. 513-521
Persistent link: https://www.econbiz.de/10012671431
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Nonparametric estimation of large covariance matrices with conditional sparsity
Wang, Hanchao; Peng, Bin; Li, Degui; Leng, Chenlei - In: Journal of econometrics 223 (2021) 1, pp. 53-72
Persistent link: https://www.econbiz.de/10012619958
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Intraday cross-sectional distributions of systematic risk
Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
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Pricing of convertible bond based on GARCH model
Wang, Mengxian; Li, Yuan - In: Quantitative financial risk management, (pp. 77-86). 2011
Persistent link: https://www.econbiz.de/10009301439
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Interest rate sensitivity of US property/liability insurer stock returns
Park, Jin; Choi, B. Paul - In: Managerial finance 37 (2011) 2, pp. 134-150
Persistent link: https://www.econbiz.de/10009007103
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Time-varying real estate sensitivities of mortgage REITs
Chiu, Banghan; Lee, Ming-te; Lee, Ming-long; Chiang, … - In: Applied economics letters 17 (2010) 16/18, pp. 1633-1640
Persistent link: https://www.econbiz.de/10009232169
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The effect of experience on security analyst underreaction
Mikhail, Michael B.; Walther, Beverly R.; Willis, Richard H. - In: Journal of accounting & economics 35 (2003) 1, pp. 101-116
Persistent link: https://www.econbiz.de/10001746412
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A remark on default risk models
Kusuoka, Shigeo - In: Advances in mathematical economics 1 (1999), pp. 69-82
Persistent link: https://www.econbiz.de/10001565547
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Investment Decisions and Sensitivity Analysis : NPV-Consistency of Rates of Return
Marchioni, Andrea - 2018
Investment decisions may be evaluated via several different metrics/criteria, which are functions of a vector of value drivers. The economic significance and the reliability of a metric depend on its compatibility with the Net Present Value (NPV). Traditionally, a metric is said to be...
Persistent link: https://www.econbiz.de/10012931080
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Performance attribution, time-weighted rate of return, and clean finite change sensitivity index
Magni, Carlo Alberto; Marchioni, Andrea - In: The journal of asset management : a major new, … 23 (2022) 1, pp. 62-72
Persistent link: https://www.econbiz.de/10013170886