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Examination and modification of multi-factor model in explaining stock excess return with hybrid approach in empirical study of Chinese stock market

Huang, Jian; Liu, Huazhang - In: Journal of risk and financial management : JRFM 12 (2019) 2/91, pp. 1-30

To search significant variables which can illustrate the abnormal return of stock price, this research is generally based on the Fama-French five-factor model to develop a multi-factor model. We evaluated the existing factors in the empirical study of Chinese stock market and examined for new...

Persistent link: https://www.econbiz.de/10012022057

A generalized Schwartz model for energy spot prices : estimation using a particle MCMC method

Brix, Anne Floor; Lunde, Asger; Wei, Wei - In: Energy economics 72 (2018), pp. 560-582

Persistent link: https://www.econbiz.de/10011972455

Measuring default risk for a portfolio of equities

Rodrigues, Matheus Pimentel; Maialy, Andre Cury - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10012012883

US risk premia under emerging markets constraints

Cavalcante-Filho, Elias; Chague, Fernando; De-Losso, Rodrigo - 2019

Persistent link: https://www.econbiz.de/10012036154

Fundamental factor models using machine learning

Sugitomo, Seisuke; Minami, Shotaro - In: Journal of mathematical finance 8 (2018) 1, pp. 111-118

Persistent link: https://www.econbiz.de/10011846158

LIBOR market model with multiplicative basis

Zhong, Yangfan - In: International journal of financial engineering 5 (2018) 2, pp. 1-38

Persistent link: https://www.econbiz.de/10011923001

Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis

Zhong, Yangfan; Mi, Yanhui - In: International journal of financial engineering 5 (2018) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10011923038

Establishment and application of multi-factor pricing model in China A-shares market

Wu, Zhipeng; Wang, Jiayi; Wang, Benchang - In: International journal of economics, finance and … 6 (2018) 3, pp. 118-123

Persistent link: https://www.econbiz.de/10011887267

Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula

Lee, Yong Woong; Yang, Kisung - In: International review of financial analysis 66 (2019), pp. 1-14

Persistent link: https://www.econbiz.de/10012208950

Fishing the corporate social responsibility risk factors

Becchetti, Leonardo; Ciciretti, Rocco; Dalò, Ambrogio - In: Journal of financial stability 37 (2018), pp. 25-48

Persistent link: https://www.econbiz.de/10012156934