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Tail risk and long memory in financial markets
Nguyen, Duc Binh Benno - 2018
Persistent link: https://www.econbiz.de/10012173996
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Financial markets and the real economy
Cochrane, John H. - 2005
Persistent link: https://www.econbiz.de/10003285703
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Three essays on behavioural finance
Hemmens, Christopher - 2017
The fact that human economic behaviour has a significant irrational element - one that is simultaneously hard-to-explain and highly predictable - has fascinated economists for decades from Fechner, 1860 to Shiller, 2005 and beyond. In this dissertation, I investigate the field from various...
Persistent link: https://www.econbiz.de/10011948369
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Essays on asset and portfolio management : rethinking portfolio rebalancing
Wittig, Hagen - 2015
characteristics, namely the relative price and volatility levels. The empirical analysis reveals significant excess returns in … asset class's stand-alone volatility or correlation to the portfolio's remaining asset classes. Thus, this method lets … risk, equity premium, and volatility. We further define bandwidths for every risk factor loading. Once the effective …
Persistent link: https://www.econbiz.de/10011418707
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Macroeconomic factors and asset prices : an empirical investigation
Mitrache, Andreea - 2015
Persistent link: https://www.econbiz.de/10011439183
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Handbook of economic forecasting ; Volume 2A
Elliott, Graham (ed.); Timmermann, Allan (ed.) - 2013
Persistent link: https://www.econbiz.de/10011484748
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Handbook of Economic Forecasting : volume 2, part A
Elliott, Graham - 2013
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information...
Persistent link: https://www.econbiz.de/10011493543
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Econometric analysis of spot variances, covariances and correlations
Acosta, Silvana - 2018
Persistent link: https://www.econbiz.de/10011947759
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Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns
Alcock, Jamie (ed.); Satchell, Stephen (ed.) - 2018
"Asymmetric Dependence (hereafter, AD) is usually thought of as a cross-sectional phenomenon. Andrew Patton describes AD as "stock returns appear to be more highly correlated during market downturns than during market upturns." (Patton, 2004) Thus at a point in time when the market return is...
Persistent link: https://www.econbiz.de/10011761934
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Financial frictions : implications for early option exercise and realized volatility
Jensen, Mads Vestergaard - 2016 - 1st edition
Persistent link: https://www.econbiz.de/10011823779