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Kurtosis-based risk parity : methodology and portfolio effects
Braga, Maria Debora; Nava, Consuelo Rubina; Zoia, Maria … - 2022
Persistent link: https://www.econbiz.de/10013366418
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Kurtosis-based vs volatility-based asset allocation strategies : do they share the same properties? : a first empirical investigation
Braga, Maria Debora; Nava, Consuelo Rubina; Zoia, Maria … - In: Finance research letters 54 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014472764
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Kurtosis analysis in GARCH models with Gram-Charlier-like innovations
Vacca, Gianmarco; Zoia, Maria Grazia - In: Economics letters 183 (2019), pp. 1-5
Persistent link: https://www.econbiz.de/10012122539
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Forecasting in GARCH models with polynomially modified innovations
Vacca, Gianmarco; Zoia, Maria Grazia; Bagnato, Luca - In: International journal of forecasting 38 (2022) 1, pp. 117-141
Persistent link: https://www.econbiz.de/10013347743