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subject:"General equilibrium"
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~subject:"Portfolio-Management"
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ECONIS (ZBW)
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1
Modeling and evaluating conditional quantile dynamics in VaR forecasts
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Palandri, …
-
2023
-
Prima edizione
Persistent link: https://www.econbiz.de/10014321854
Saved in:
2
Optimal markowitz portfolio using returns forecasted with time series and machine learning models
Ślusarczyk, Damian
;
Ślepaczuk, Robert
-
2023
Persistent link: https://www.econbiz.de/10014446491
Saved in:
3
Ensembling ARIMAX model in algorithmic investment strategies on commodities market
Jakubowski, Paweł
;
Ślepaczuk, Robert
;
Windorbski, …
-
2023
Persistent link: https://www.econbiz.de/10014448210
Saved in:
4
Mean absolute directional loss as a new loss function for machine learning problems in algorithmic investment strategies
Michańków, Jakub
;
Sakowski, Paweł
;
Ślepaczuk, Robert
-
2023
Persistent link: https://www.econbiz.de/10014448222
Saved in:
5
Hedging properties of algorithmic investment strategies using long short-term memory and time series models for equity indices
Michańków, Jakub
;
Sakowsk, Paweł
;
Ślepaczuk, Robert
-
2023
Persistent link: https://www.econbiz.de/10014448237
Saved in:
6
The performance of time series forecasting based on classical and machine learning methods for S&P 500 index
Uzzal, Maudud Hassan
;
Ślepaczuk, Robert
-
2023
Persistent link: https://www.econbiz.de/10014305886
Saved in:
7
Ensembled LSTM with walk forward optimization in algorithmic trading
Chojnacki, Karol
;
Ślepaczuk, Robert
-
2023
Persistent link: https://www.econbiz.de/10014308890
Saved in:
8
The profitability of pairs trading strategies on Hong-Kong stock market : distance, cointegration, and correlation methods
Ma, Baiquan
;
Ślepaczuk, Robert
-
2022
Persistent link: https://www.econbiz.de/10012816711
Saved in:
9
Investment portfolio optimization based on modern portfolio theory and deep learning models
Wysocki, Maciej
;
Sakowski, Paweł
-
2022
Persistent link: https://www.econbiz.de/10013473216
Saved in:
10
A comparison of LSTM and GRU architectures with novel walk-forward approach to algorithmic investment strategy
Baranochnikov, Illia
;
Ślepaczuk, Robert
-
2022
Persistent link: https://www.econbiz.de/10013473692
Saved in:
11
The efficiency of various types of input layers of LSTM model in investment strategies on S&P500 index
Thi Thu Giang Nguyen
;
Ślepaczuk, Robert
-
2022
Persistent link: https://www.econbiz.de/10013474013
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12
Trading activity, risk aversion, and risk neutral skewness : evidence from SSE 50ETF option
Jiang, Zhengyun
;
Zhou, Xin
- In:
International review of economics & finance : IREF
91
(
2024
),
pp. 378-399
Persistent link: https://www.econbiz.de/10014492161
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13
Transmission of liquidity and credit risks in the Chinese bond market : analysis based on joint modeling of multiple yield curves
Lin, Mucai
;
Hong, Zhiwu
;
Su, Ge
- In:
International review of economics & finance : IREF
91
(
2024
),
pp. 597-615
Persistent link: https://www.econbiz.de/10014492241
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14
A continuous heterogeneous agent model for multi-asset pricing and portfolio construction under market matching friction
Fu, Jie
;
Zhang, Xiaoqi
;
Zhou, Wenyuan
;
Lyu, Yang
- In:
International review of economics & finance : IREF
89
(
2024
)
1
,
pp. 267-283
Persistent link: https://www.econbiz.de/10014446433
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15
On the design of bail-in-able bonds from the perspective of non-financial firms
Liu, Liang-Chih
;
Dai, Tian-Shyr
;
Zhou, Lei
- In:
International review of economics & finance : IREF
89
(
2024
)
1
,
pp. 1136-1155
Persistent link: https://www.econbiz.de/10014446615
Saved in:
16
Life-cycle risk-taking with personal disaster risk
Bagliano, Fabio C.
;
Fugazza, Carolina
;
Nicodano, Giovanna
- In:
International review of economics & finance : IREF
89
(
2024
)
2
,
pp. 378-396
Persistent link: https://www.econbiz.de/10014446773
Saved in:
17
Strategic asset allocation with distorted beliefs
Chung, San-Lin
;
Hung, Mao-Wei
;
Wei, Tzu-Wen
;
Yeh, Chung-Ying
- In:
International review of economics & finance : IREF
89
(
2024
)
2
,
pp. 804-831
Persistent link: https://www.econbiz.de/10014446818
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18
The transmission channels of government spending uncertainty
Belianska, Anna
;
Eyquem, Aurélien
;
Poilly, Céline
-
2021
Persistent link: https://www.econbiz.de/10012508320
Saved in:
19
Enhanced index replication based on smart beta and tail-risk asset allocation
Korzeń, Kamil
;
Ślepaczuk, Robert
-
2021
Persistent link: https://www.econbiz.de/10012816699
Saved in:
20
Applying hybrid ARIMA-SGARCH in algorithmic investment strategies on S&P 500 Index
Nguyen Vo
;
Ślepaczuk, Robert
-
2021
Persistent link: https://www.econbiz.de/10012816706
Saved in:
21
The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012816709
Saved in:
22
The MEGA regional general equilibrium model
Roson, Roberto
-
2021
Persistent link: https://www.econbiz.de/10012499725
Saved in:
23
Uncertain mean-variance portfolio model with inflation taking linear uncertainty distributions
Huang, Xiaoxia
;
Ma, Di
;
Choe, Kwang-Il
- In:
International review of economics & finance : IREF
87
(
2023
),
pp. 203-217
Persistent link: https://www.econbiz.de/10014472066
Saved in:
24
Blockchain market and eco-friendly financial assets : dynamic price correlation, connectedness and spillovers with portfolio implications
Abakah, Emmanuel Joel Aikins
;
Ullah, G. M. Wali
; …
- In:
International review of economics & finance : IREF
87
(
2023
),
pp. 218-243
Persistent link: https://www.econbiz.de/10014472075
Saved in:
25
Predicting stock market returns using aggregate credit risk
Li, Tangrong
;
Sun, Xuchu
- In:
International review of economics & finance : IREF
88
(
2023
),
pp. 1087-1103
Persistent link: https://www.econbiz.de/10014475096
Saved in:
26
How does bubble risk propagate among financial assets? : a perspective from the BSADF-vine copula model
Yao, Can-Zhong
;
Li, Min-Jian
;
Xu, Xin
- In:
International review of economics & finance : IREF
88
(
2023
),
pp. 347-364
Persistent link: https://www.econbiz.de/10014475372
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27
Optimal liquidity allocation in an equity network
Jiang, Bo
;
Tzavellas, Hector
- In:
International review of economics & finance : IREF
85
(
2023
),
pp. 286-294
Persistent link: https://www.econbiz.de/10014424270
Saved in:
28
Lifetime asset allocation with long run risk and time various risk aversion
Tang, Tao
;
Luo, Ronghua
;
Gu, Jing
- In:
International review of economics & finance : IREF
86
(
2023
),
pp. 230-251
Persistent link: https://www.econbiz.de/10014431337
Saved in:
29
The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification
Billio, Monica
;
Caporin, Massimiliano
;
Panzica, Roberto …
- In:
International review of economics & finance : IREF
84
(
2023
),
pp. 196-223
Persistent link: https://www.econbiz.de/10014343115
Saved in:
30
Size does matter : a study on the required window size for optimal quality market risk models
Buczyńsk, Mateusz
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322119
Saved in:
31
HRP performance comparison in portfolio optimization under various codependence and distance metrics
Barziy, Illya
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322189
Saved in:
32
Applying hurst exponent in pair trading strategies
Quynh Bui
;
Ślepaczuk, Robert
-
2020
Persistent link: https://www.econbiz.de/10012322277
Saved in:
33
Does bitcoin improve investment portfolio efficiency?
Sakowski, Paweł
;
Turovtseva, Daria
-
2020
Persistent link: https://www.econbiz.de/10012512505
Saved in:
34
Recapitalization, bailout, and long-run welfare in a dynamic model of banking
Modena, Andrea
-
2020
Persistent link: https://www.econbiz.de/10012496762
Saved in:
35
Dynamic equity slope
Breugem, Matthijs
;
Colonello, Stefano
;
Marfè, Roberto
; …
-
2020
Persistent link: https://www.econbiz.de/10012498598
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36
Dynamic rebalancing portfolio models with analyses of investor sentiment
Yu, Jing-Rung
;
Chiou, W. Paul
;
Hung, Cing-Hung
;
Dong, …
- In:
International review of economics & finance : IREF
77
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013288009
Saved in:
37
Portfolio optimization under multivariate affine generalized hyperbolic distributions
Wang, Chou-Wen
;
Liu, Kai
;
Li, Bin
;
Tan, Ken Seng
- In:
International review of economics & finance : IREF
80
(
2022
),
pp. 49-66
Persistent link: https://www.econbiz.de/10013341737
Saved in:
38
Active or passive portfolio : a tracking error analysis under uncertainty theory
Yang, Tingting
;
Huang, Xiaoxia
- In:
International review of economics & finance : IREF
80
(
2022
),
pp. 309-326
Persistent link: https://www.econbiz.de/10013342014
Saved in:
39
Risk measure index tracking model
Sant'Anna, Leonardo Riegel
;
Righi, Marcelo Brutti
; …
- In:
International review of economics & finance : IREF
80
(
2022
),
pp. 361-383
Persistent link: https://www.econbiz.de/10013342032
Saved in:
40
A large-dimensional test for cross-sectional anomalies : efficient sorting revisited
De Nard, Gianluca
;
Zhao, Zhao
- In:
International review of economics & finance : IREF
80
(
2022
),
pp. 654-676
Persistent link: https://www.econbiz.de/10013342641
Saved in:
41
Orthogonal portfolios to assess estimation risk
Chávez-Bedoya, Luis
;
Rosales, Francisco
- In:
International review of economics & finance : IREF
80
(
2022
),
pp. 906-937
Persistent link: https://www.econbiz.de/10013342794
Saved in:
42
Book-to-market equity and asset correlations : an international study
Ho, Kung-Cheng
;
Lee, Shih-Cheng
;
Chen, Jiun-Lin
- In:
International review of economics & finance : IREF
79
(
2022
),
pp. 258-274
Persistent link: https://www.econbiz.de/10013343395
Saved in:
43
Estimating tail-risk using semiparametric conditional variance with an application to meme stocks
D'Addona, Stefano
;
Khanom, Najrin
- In:
International review of economics & finance : IREF
82
(
2022
),
pp. 241-260
Persistent link: https://www.econbiz.de/10013543110
Saved in:
44
Omega portfolio models with floating return threshold
Yu, Jing-Rung
;
Chiou, Wan-jiun Paul
;
Hsin, Yi-Ting
; …
- In:
International review of economics & finance : IREF
82
(
2022
),
pp. 743-758
Persistent link: https://www.econbiz.de/10013545891
Saved in:
45
Coherent diversification measures in portfolio theory : an axiomatic foundation
Koumou, Gilles Boevi
;
Dionne, Georges
-
2019
Persistent link: https://www.econbiz.de/10012139165
Saved in:
46
Exploring long run structural change with a dynamic general equilibrium model
Britz, Wolfgang
;
Roson, Roberto
-
2018
Persistent link: https://www.econbiz.de/10011869084
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47
G-RDEM: a GTAP-based recursive dynamic CGE model for long-term baseline generation and analysis
Britz, Wolfgang
;
Roson, Roberto
-
2018
Persistent link: https://www.econbiz.de/10011869088
Saved in:
48
Optimal portfolio choice with stock market entry costs and human capital investments : a developing country model
Thakurata, Indrajit
- In:
International review of economics & finance : IREF
73
(
2021
),
pp. 175-195
Persistent link: https://www.econbiz.de/10012692217
Saved in:
49
Ambiguity, long-run risks, and asset prices in continuous time
Ruan, Xinfeng
- In:
International review of economics & finance : IREF
71
(
2021
),
pp. 115-126
Persistent link: https://www.econbiz.de/10012627765
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50
Composite-asset-risk approach to solving the equity premium puzzle
Kim, Yun-Yeong
- In:
International review of economics & finance : IREF
71
(
2021
),
pp. 200-216
Persistent link: https://www.econbiz.de/10012627774
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