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Statistics and finance : an introduction

Ruppert, David - 2004

regression using splines, are introduced as needed. The classical methods of finance such as portfolio theory, CAPM, and the …:Introduction * Probability and Statistical Models * Returns * Time Series Models * Portfolio Theory * Regression * The Capital Asset Pricing …

Persistent link: https://www.econbiz.de/10001805902

Equity style allocation : a nonparametric approach

Subbiah, Mohan; Fabozzi, Frank J. - In: The journal of asset management 17 (2016) 3, pp. 141-164

Persistent link: https://www.econbiz.de/10011485142

Kerndichte- und Kernregressionsschätzungen im Asset Management : Analyse und Prognose von Rendite- und Risikoparametern mit Hilfe nichtparametrischer Verfahren

Petersmeier, Kerstin - 2003 - 1. Aufl.

Persistent link: https://www.econbiz.de/10012877949

Semiparametric estimation of expected shortfall and its application in finance

Fang, Yan; Li, Jian; Liu, Yinglin; Zhao, Yunfan - In: Journal of forecasting 42 (2023) 4, pp. 835-851

Persistent link: https://www.econbiz.de/10014292830

Nonparametric expected shortfall forecasting incorporating weighted quantiles

Storti, Giuseppe; Wang, Chao - In: International journal of forecasting 38 (2022) 1, pp. 224-239

Persistent link: https://www.econbiz.de/10013347785

Factor timing with investor sentiment

Jiang, Fuwei; Ning, Wei; Xue, Hao - In: Annals of economics and finance 24 (2023) 2, pp. 401-437

Persistent link: https://www.econbiz.de/10014518959

Measuring the speed of convergence of stock prices : a nonparametric and nonlinear approach

Kim, Hyeongwoo; Ryu, Deockhyun - In: Economic modelling 51 (2015), pp. 227-241

Persistent link: https://www.econbiz.de/10011475887

Do long-memory GARCH-type-value-at-risk models outperform none-and semi-parametric value-at-risk models?

Buberkoku, Onder - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 2, pp. 199-215

Persistent link: https://www.econbiz.de/10012027037

Fund-of-funds construction by statistical multiple testing methods

Wolf, Michael; Wunderli, Dan - 2009

Persistent link: https://www.econbiz.de/10003942225

A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation

Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358

Persistent link: https://www.econbiz.de/10010224698

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