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Volatility clustering : a nonlinear theoretical approach

He, Xue-zhong; Li, Kai; Wang, Chuncheng - In: Journal of economic behavior & organization : JEBO 130 (2016), pp. 274-297

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Long memory in financial markets : a heterogeneous agent model perspective

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Bounded rationality, very young financial markets and the EU enlargement

Agapie, Adriana - In: East European transition and EU enlargement : a …, (pp. 1-17). 2002

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Revisiting EWMA in high-frequency portfolio optimization : a comparative assessment

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This paper compares the statistical and economic performance of state-of-the-art highfrequency based multivariate volatility models with a simpler, widely used alternative-the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S. stock returns (2002-2023), we...

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Quantitative equity investing : techniques and strategies

Fabozzi, Frank J.; Focardi, Sergio M.; Kolm, Petter N. - 2010

portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz … FINANCE -- CAUSALITY -- SUMMARY -- Chapter 4: Common Pitfalls in Financial Modeling -- THEORY AND ENGINEERING -- ENGINEERING …

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Reducing transaction costs using intraday forecasts of limit order book slopes

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Supplementary Material for 'Asset Pricing Restrictions on Predictability : Frictions Matter'

de Roon, Frans - 2011

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Quantitative equity investing : techniques and strategies

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Persistent link: https://www.econbiz.de/10003898661