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Tail risk and robust portfolio decisions

Jin, Xing; Luo, Dan; Zeng, Xudong - In: Management science : journal of the Institute for … 67 (2021) 5, pp. 3254-3275

Persistent link: https://www.econbiz.de/10012581376

Robust M-estimation of multivariate conditionally heteroscedastic time series models with elliptical innovations

Boudt, Kris (contributor); Croux, Christophe (contributor) - 2007

Persistent link: https://www.econbiz.de/10003624500

Robust test of the January effect in stock markets using Markov-switching model

Chu, Chia-shang James; Liu, Tung; Rathinasamy, R. S. - In: Journal of financial management and analysis : … 17 (2004) 1, pp. 22-33

Persistent link: https://www.econbiz.de/10002507016

Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

Persistent link: https://www.econbiz.de/10012023869