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Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns
Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen I. - In: The review of financial studies 22 (2009) 9, pp. 3411-3447
Persistent link: https://www.econbiz.de/10003885704
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Estimation of capital asset pricing model at different time scales application to French stock market
Rhaiem, Najet; Ammou, Saloua Ben; Mabrouk, Anouar Ben - In: The international journal of applied economics and finance 1 (2007) 2, pp. 79-87
Persistent link: https://www.econbiz.de/10003891205
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Using the transformation method to evaluate the probability density functionof z=xα yβ
Kadry, Seifedine; Smaily, Khaled - In: The international journal of applied economics and finance 1 (2007) 2, pp. 105-112
Persistent link: https://www.econbiz.de/10003891226
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Wavelet estimation of systematic risk at different time scales application to French stock market
Rhaeim, N.; Ammou, S. Ben; Mabrouk, A. Ben - In: The international journal of applied economics and finance 1 (2007) 2, pp. 113-119
Persistent link: https://www.econbiz.de/10003891229
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The cross-section excess returns: risk factors and investor sentiment
Abdelhedi, Mouna; Abbes, Mouna Boujelbène; … - In: The ICFAI journal of applied finance 15 (2009) 9, pp. 5-21
Persistent link: https://www.econbiz.de/10003894624
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International asset prices : empirical evidence
Morales-Arias, Leonardo - 2009
Persistent link: https://www.econbiz.de/10003869496
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Trading costs and returns for US equities : estimating effective costs from daily data
Hasbrouck, Joel - In: The journal of finance : the journal of the American … 64 (2009) 3, pp. 1445-1477
Persistent link: https://www.econbiz.de/10003871960
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Skew generalized secant hyperbolic distributions : unconditional and conditional fit to asset returns
Fischer, Matthias - 2002
A generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given by Morris (1982). Recently, Vaughan (2002) proposed another flexible generalization of the hyperbolic secant distribution which has a lot of nice properties but is not able to...
Persistent link: https://www.econbiz.de/10003903404
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Two essays on government bond markets
Wang, Junbo - 2005
Persistent link: https://www.econbiz.de/10003906123