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Portfolio diversification benefits of Islamic investors with their major trading partners : evidence from Malaysia based on MGARCH-DCC and wavelet approaches

Rahim, Adam Mohamed; Masih, Mansur - In: Economic modelling 54 (2016), pp. 425-438

Persistent link: https://www.econbiz.de/10011642223

Wavelet decomposition of heterogeneous investment horizon

Chen, W. D.; Li, H. C. - In: Journal of economics and finance 40 (2016) 4, pp. 714-734

Persistent link: https://www.econbiz.de/10011659067

Bond portfolio optimization using dynamic factor models

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Journal of empirical finance 37 (2016), pp. 128-158

Persistent link: https://www.econbiz.de/10011662973

Estimation of correlations in portfolio credit risk models based on noisy security prices

Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Journal of economic dynamics & control 61 (2015), pp. 334-349

Persistent link: https://www.econbiz.de/10011589542

Investing in gold : individual asset risk in the long run

Michis, Antonis A. - In: Finance research letters 11 (2014) 4, pp. 369-374

Persistent link: https://www.econbiz.de/10011300440

Risk management with thinly traded securities : methodology and implementation

Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013

Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...

Persistent link: https://www.econbiz.de/10011303812

Nonlinear portfolio views : an efficient extension to the Black-Litterman approach

Mazzoni, Thomas - In: Journal of business economics : JBE 85 (2015) 6, pp. 693-717

Persistent link: https://www.econbiz.de/10011294251

Time-frequency analysis of behaviourally classified financial asset markets

Omane-Adjepong, Maurice; Ababio, Kofi A.; Alagidede, … - In: Research in international business and finance 50 (2019), pp. 54-69

Persistent link: https://www.econbiz.de/10012176983

Co-movements in commodity markets andimplications in diversification benefits

Cai, Xiao Jing; Fang, Zheng; Youngho, Chang; Tian, Shuairu - In: Empirical economics : a journal of the Institute for … 58 (2020) 2, pp. 393-425

Persistent link: https://www.econbiz.de/10012219019

Debiased expert forecasts in continuous-time asset allocation

Davis, Mark H. A.; Lleo, Sébastien - In: Journal of banking & finance 113 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012226106