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Volatility, distress risk, and the cross-section of portfolio returns
Sabbaghi, Omid - In: Review of accounting & finance 14 (2015) 2, pp. 149-171
Persistent link: https://www.econbiz.de/10011308963
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The impact of global risk on the performance of socially responsible and conventional stock indices
Śliwiński, Paweł; Łobza, Maciej - In: Equilibrium : quarterly journal of economics and … 12 (2017) 4, pp. 657-674
Persistent link: https://www.econbiz.de/10012230890
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Risk on-risk off : a regime switching model for active portfolio management
Dapena, José P.; Serur, Juan Andrés; Siri, Julián R. - 2019
Unlike passive management, where investors almost do not buy and sell securities, active management involves a set of trading rules that govern investment decisions regarding mainly market timing. In this paper, we take the basics of active management and the two fund separation approach, to...
Persistent link: https://www.econbiz.de/10012146691
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Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng; So, Leh-Chyan - In: Journal of mathematical finance 8 (2018) 2, pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
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Portfolio selection in a data-rich environment
Bouaddi, Mohammed; Taamouti, Abderrahim - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2943-2962
Persistent link: https://www.econbiz.de/10010348093
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Risk spillovers in oil-related CDS, stock and credit markets
Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - In: Energy economics 36 (2013), pp. 526-535
Persistent link: https://www.econbiz.de/10009724647
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The cumulant risk premium
Kyle, Albert S.; Todorov, Karamfil - 2023
Persistent link: https://www.econbiz.de/10014414346
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The economic value of VIX ETPs
Christensen, Kim; Christiansen, Charlotte; Posselt, … - In: Journal of empirical finance 58 (2020), pp. 121-138
Persistent link: https://www.econbiz.de/10012430667
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Equity market anomalies, VIX and asset pricing : trading strategies for India
Pandey, Asheesh - In: The Indian economic journal 67 (2019) 3/4, pp. 279-298
Persistent link: https://www.econbiz.de/10012390853
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Meteor showers and global asset allocation
Ahmed, Rashad; Hasan, Mohammad S.; Sultan, Jahangir - In: The European journal of finance 26 (2020) 17, pp. 1703-1724
Persistent link: https://www.econbiz.de/10012314648