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Pairs trading of two assets with uncertainty in co-integration's level of mean reversion
Lee, Sangmin; Papanicolaou, Andrew - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10011686768
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Time-Dependent Black–Litterman
Van der Schans, Martin; Steehouwer, Hens - In: The journal of asset management 18 (2017) 5, pp. 371-387
Persistent link: https://www.econbiz.de/10011704538
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An empirical investigation of eastern European bond markets
Wang, Jinghua; Bilson, John F. - In: Emerging markets finance & trade : a journal of the … 53 (2017) 1, pp. 199-212
Persistent link: https://www.econbiz.de/10011763968
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Are exchange rates interdependent? : evidence using wavelet analysis
Kumar, Satish; Pathak, Rajesh; Tiwari, Aviral Kumar; … - In: Applied economics 49 (2017) 31/33, pp. 3231-3245
Persistent link: https://www.econbiz.de/10011774731
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Value-at-Risk for fixed-income portfolios : a Kalman filtering approach
Date, P.; Bustreo, R. - In: IMA journal of management mathematics 27 (2016) 4, pp. 557-573
Persistent link: https://www.econbiz.de/10011740023
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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
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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
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Diversification potential of Asian frontier, BRIC emerging and major developed stock markets : a wavelet-based value at risk approach
Mensi, Walid; Shahzad, Syed Jawad Hussain; Hammoudeh, … - In: Emerging markets review 32 (2017), pp. 130-147
Persistent link: https://www.econbiz.de/10011803251
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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
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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