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A note on empirical Sharpe ratio dynamics

Schuster, Martin; Auer, Benjamin R. - In: Economics letters 116 (2012) 1, pp. 124-128

Persistent link: https://www.econbiz.de/10009633783

Varianzquotiententests und Random Walk Verhalten internationaler Aktienmärkte

Auer, Benjamin R.; Schuster, Martin - In: Management review quarterly : systematic literature … 64 (2014) 2, pp. 73-100

Varianzquotiententests gehören mittlerweile zum "State of the Art" der empirischen Untersuchung von Aktienkursen auf Random Walk Verhalten. Dieser Artikel gibt einen kompakten Überblicküber diese Verfahren und geht insbesondere auch auf aktuelle Bootstrap-Entwicklungen auf diesem Gebiet ein....

Persistent link: https://www.econbiz.de/10010356216

Are standard asset pricing factors long-range dependent?

Auer, Benjamin R. - In: Journal of economics and finance 42 (2018) 1, pp. 66-88

Persistent link: https://www.econbiz.de/10011978140

The low return distortion of the Sharpe ratio

Auer, Benjamin R. - In: Financial markets and portfolio management 27 (2013) 3, pp. 299-306

Persistent link: https://www.econbiz.de/10009780274

Does the strength of capital market anomalies exhibit seasonal patterns?

Auer, Benjamin R. - In: Journal of economics and finance 43 (2019) 1, pp. 91-103

Persistent link: https://www.econbiz.de/10012171002

Can habit formation under complete market integration explain the cross-section of international equity risk premia?

Auer, Benjamin R. - In: Review of financial economics : RFE 22 (2013) 2, pp. 61-67

Persistent link: https://www.econbiz.de/10009737233

Can consumption-based asset pricing models using monetary conditioning variables explain the cross-section of German stock returns?

Auer, Benjamin R. - In: Applied economics 45 (2013) 25/27, pp. 3564-3573

Persistent link: https://www.econbiz.de/10010345895

Pure return persistence, Hurst exponents and hedge fund selection : a practical note

Auer, Benjamin R. - In: The journal of asset management 17 (2016) 5, pp. 319-330

Persistent link: https://www.econbiz.de/10011634661

Extreme value theory, asset ranking and threshold choice : a practical note on VaR estimation

Auer, Benjamin R. - In: Journal of risk 18 (2015/2016) 1, pp. 27-44

Persistent link: https://www.econbiz.de/10013262944

How accurate are modern value-at-risk estimators derived from extreme value theory?

Auer, Benjamin R.; Mögel, Benjamin - 2016

In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and currency market data, we analyse the accuracy of the...

Persistent link: https://www.econbiz.de/10011587888