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Risk assessment with wavelet feature engineering for high-frequency portfolio trading

Chen, Yi-Ting; Sun, Edward W.; Yu, Min-Teh - In: Computational economics 52 (2018) 2, pp. 653-684

Persistent link: https://www.econbiz.de/10012053020

Quantile hedge ratio for energy markets

Shrestha, Keshab; Ravichandran K. Subramaniam; Yessy … - In: Energy economics 71 (2018), pp. 253-272

Persistent link: https://www.econbiz.de/10011943021

Co-movements and contagion between international stock index futures markets

Albulescu, Claudiu Tiberiu; Goyeau, Daniel; Tiwari, … - In: Empirical economics : a journal of the Institute for … 52 (2017) 4, pp. 1529-1568

Persistent link: https://www.econbiz.de/10011945853

Does a held-to-maturity strategy impede effective portfolio diversification for Islamic bond (sukuk) portfolios? : a multi-scale continuous wavelet correlation analysis

Najeeb, Syed Faiq; Obiyathulla Ismath Bacha; Mansur Masih - In: Emerging markets finance & trade : a journal of the … 53 (2017) 10/11/12, pp. 2377-2393

Persistent link: https://www.econbiz.de/10011825987

Attribution of hedge fund returns using a Kalman filter

Thomson, Daniel; Van Vuuren, Gary - In: Applied economics 50 (2018) 9, pp. 1043-1058

Persistent link: https://www.econbiz.de/10011848239

Leverage versus volatility : evidence from the capital structure of European firms

Alaoui, Abdelkader O. el; Obiyathulla Ismath Bacha; … - In: Economic modelling 62 (2017), pp. 145-160

Persistent link: https://www.econbiz.de/10011813362

Risk factor exposure variation and mutual fund performance

Ammann, Manuel; Fischer, Sebastian; Weigert, Florian - 2018

We investigate the relationship between a mutual fund’s variation in systematic risk factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)’s four factor model to capture risk factor variation, we find that funds with volatile risk factor exposures...

Persistent link: https://www.econbiz.de/10011906504

Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading

Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42

Persistent link: https://www.econbiz.de/10011917413

Wavelet decompostion and applied portfolio management

Berger, Theo - In: Journal of risk 18 (2015/2016) 4, pp. 53-77

Persistent link: https://www.econbiz.de/10011578387

Long-run wavelet-based correlation for financial time series

Conlon, Thomas; Cotter, John; Gençay, Ramazan - In: European journal of operational research : EJOR 271 (2018) 2, pp. 676-696

Persistent link: https://www.econbiz.de/10011890368

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