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~isPartOf:"Discussion paper series"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of empirical finance"
~subject:"CAPM"
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Search: subject_exact:"Method of moments"
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CAPM
Method of moments
276
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275
Theorie
103
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103
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102
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102
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58
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Peñaranda, Francisco
2
Sentana, Enrique
2
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1
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1
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1
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1
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1
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1
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1
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1
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Discussion paper series
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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8
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ECONIS (ZBW)
16
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1
Overlapping momentum portfolios
Blanco, Ivan
;
Jesus, Miguel de
;
Remesal, Alvaro
- In:
Journal of empirical finance
72
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014476787
Saved in:
2
Coskewness and reversal of momentum returns : the US and international evidence
Dong, Liang
;
Dai, Yiqing
;
Haque, Tariq
;
Kot, Hung Wan
; …
- In:
Journal of empirical finance
69
(
2022
),
pp. 241-264
Persistent link: https://www.econbiz.de/10013478531
Saved in:
3
Alpha momentum and alpha reversal in country and industry equity indexes
Zaremba, Adam
;
Umutlu, Mehmet
;
Karathanasopoulos, Andreas
- In:
Journal of empirical finance
53
(
2019
),
pp. 144-161
Persistent link: https://www.econbiz.de/10012171632
Saved in:
4
Global idiosyncratic risk moments
Baghdadabad, Mohammadreza Tavakoli
;
Mallik, Girijasankar
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
2
,
pp. 731-764
Persistent link: https://www.econbiz.de/10011949902
Saved in:
5
Duality in mean-variance frontiers with conditioning information
Peñaranda, Francisco
;
Sentana, Enrique
- In:
Journal of empirical finance
38
(
2016
),
pp. 762-785
Persistent link: https://www.econbiz.de/10011663795
Saved in:
6
A non-linear dynamic model of the variance risk premium
Eraker, Bjørn
;
Wang, Jiakou
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 547-556
Persistent link: https://www.econbiz.de/10011499758
Saved in:
7
Spanning tests in return and stochastic discount factor mean-variance frontiers : a unifying approach
Peñaranda, Francisco
;
Sentana, Enrique
- In:
Journal of econometrics
170
(
2012
)
2
,
pp. 303-324
Persistent link: https://www.econbiz.de/10009685912
Saved in:
8
Moments of multivariate regime switching with application to risk-return trade-off
Taamouti, Abderrahim
- In:
Journal of empirical finance
19
(
2012
)
2
,
pp. 292-308
Persistent link: https://www.econbiz.de/10009615702
Saved in:
9
Residual momentum
Blitz, David
;
Huij, Joop
;
Martens, Martin
- In:
Journal of empirical finance
18
(
2011
)
3
,
pp. 506-521
Persistent link: https://www.econbiz.de/10009302077
Saved in:
10
It takes a model to beat a model : volatility bounds
Liu, Ludan
- In:
Journal of empirical finance
15
(
2008
)
1
,
pp. 80-110
Persistent link: https://www.econbiz.de/10003693004
Saved in:
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