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Active portfolio management : the power of the Treynor-Black model

Kane, Alex; Kim, Tae-hwan; White, Halbert - In: Progress in financial markets research, (pp. 311-332). 2012

Persistent link: https://www.econbiz.de/10009678540

Generalized runs tests for the IID hypothesis

Cho, Jin Seo; White, Halbert - In: Journal of econometrics 162 (2011) 2, pp. 326-344

Persistent link: https://www.econbiz.de/10009270627

Nonparametric identification in nonseparable panel data models with generalized fixed effects

Hoderlein, Stefan; White, Halbert - In: Journal of econometrics 168 (2012) 2, pp. 300-314

Persistent link: https://www.econbiz.de/10009612736

Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - 2008

Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to...