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A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation

Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 198 (2017) 1, pp. 10-28

Persistent link: https://www.econbiz.de/10011818366

How many factors are important in U.K. stock returns?

Fletcher, Jonathan - In: The European journal of finance 25 (2019) 13, pp. 1234-1249

Persistent link: https://www.econbiz.de/10012207080

Capital market returns and inflation nexus in Croatia : wavelet coherence analysis

Bošnjak, Mile; Novak, Ivan; Bašić, Maja - In: Business systems research : a system view accross … 12 (2021) 2, pp. 253-267

Background: Hedging against inflation assumes instruments such as gold, stocks, fixed income securities, and real estate. There still exists a lack of appropriate strategy to hedge against inflation. Objectives: This paper examines the possibilities for hedging against inflation in Croatia...

Persistent link: https://www.econbiz.de/10013325399

Fundamental indexing around the world

Walkshäusl, Christian; Lobe, Sebastian - In: Review of financial economics : RFE 19 (2010) 3, pp. 117-127

Persistent link: https://www.econbiz.de/10008653405

Drawdown risk in mutual funds performance

Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106

benchmarks use the lower partial moment as a risk measure. The lower partial moment, however, doesn’t entirely describe the panic …

Persistent link: https://www.econbiz.de/10009746020

Do Style Momentum Strategies Produce Abnormal Returns : Evidence from Index Investing

Liu, Zugang - 2019

In this study, we investigate the return enhancement ability of style momentum strategy: a strategy that switches between value and growth styles based on previous performance. We explore the variation in abnormal returns of long-only and long-short momentum strategies using various style based...

Persistent link: https://www.econbiz.de/10012898292

The Analysis of Value at Risk for Precious Metal Returns by Applying Extreme Value Theory, Copula Model and GARCH Model

Khemawanit, Kritsana - 2016

This paper examines Value at Risk by applying GARCH-EVT-Copula model and finds the optimal portfolio for the precious … ARMA-GARCH equations based on the student t distribution. Second, we extract the filtered residuals from such estimation … distributions. Third, we use multivariate Student t-copula to construct the precious metal portfolio risk dependence structure …

Persistent link: https://www.econbiz.de/10012976965

Momentum Anomaly : Research In BIST100 Index

Kaldirim, Yusuf - 2020

Stock market anomalies are mispricings based on irrational investor behaviors. Investors can obtain abnormal return based on certain investment strategies in anomaly observed markets. The purpose of this study is to investigate the existence of momentum anomaly in BIST 100 index during the...

Persistent link: https://www.econbiz.de/10012834191

Benchmark versus Index in Mutual Fund Performance Evaluation

Vidal-García, Javier; Vidal, Marta - 2022

portfolios as a measure of risk and, therefore, Carhart's alpha is its sensitivity to the definition of the market portfolio. In …

Persistent link: https://www.econbiz.de/10014361402

Do Style and Sector Indexes Carry Momentum?

Chen, Linda H. - 2012

Existing literature documents that cross-sectional stock returns exhibit both price momentum and earnings momentum. In this paper, we examine whether commonly used style and sector indexes also have momentum patterns. We show that style indexes exhibit strong price momentum, but little evidence...

Persistent link: https://www.econbiz.de/10013101290