Similar Search Results

Superstitious seasonality in precious metals markets? : evidence from GARCH models with time-varying skewness and kurtosis

Auer, Benjamin R. - In: Applied economics 47 (2015) 25/27, pp. 2844-2859

Persistent link: https://www.econbiz.de/10010519853

Long memory and structural breaks in modeling the return and volatility dynamics of precious metals

Arouri, Mohamed; Hammoudeh, Shawkat; Lahiani, Amine; … - In: The quarterly review of economics and finance : journal … 52 (2012) 2, pp. 207-218

Persistent link: https://www.econbiz.de/10009700518

Can precious metals make your portfolio shine?

Conover, C. Mitchell; Jensen, Gerald R.; Johnson, Robert R. - In: The journal of investing 18 (2009) 1, pp. 75-86

Persistent link: https://www.econbiz.de/10003849110

Analysis of the investment potential and inflation-hedging ability of precious metals

McCown, James R.; Zimmerman, John R. - In: Banking and capital markets : new international perspectives, (pp. 325-340). 2009

Persistent link: https://www.econbiz.de/10008696114

Correlation surprise

Kinlaw, Will; Turkington, David - In: The journal of asset management 14 (2013) 6, pp. 385-399

Persistent link: https://www.econbiz.de/10010258478

Sovereign credit ratings, market volatility, and financial gains

Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014

Persistent link: https://www.econbiz.de/10011554962

Risk-adjusted time series momentum

Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

Persistent link: https://www.econbiz.de/10011293745

Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54

Persistent link: https://www.econbiz.de/10012630868

Risk estimation with a time-varying probability of zero returns

Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309

Persistent link: https://www.econbiz.de/10013187979

Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach

Hallin, Marc; Trucios, Carlos - 2020

Persistent link: https://www.econbiz.de/10012437084