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~language:"eng"
~person:"Scaillet, Olivier"
~subject:"Portfolio-Management"
~subject:"Risk premium"
~type_genre:"Aufsatz in Zeitschrift"
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Portfolio-Management
Risk premium
Nichtparametrisches Verfahren
13
Nonparametric statistics
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9
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9
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Scaillet, Olivier
Zhou, Guofu
10
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9
Kleibergen, Frank
7
Wong, Wing Keung
7
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6
Fabozzi, Frank J.
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5
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5
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5
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5
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4
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4
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4
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4
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4
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4
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4
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4
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4
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4
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4
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4
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4
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4
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4
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4
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4
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4
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4
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of econometrics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
The journal of finance : the journal of the American Finance Association
1
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ECONIS (ZBW)
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1
A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan
;
Guerrier, Stéphane
;
Scaillet, Olivier
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471822
Saved in:
2
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Camponovo, Lorenzo
;
Scaillet, Olivier
;
Trojani, Fabio
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 377-387
Persistent link: https://www.econbiz.de/10011987504
Saved in:
3
Nonparametric estimation and sensitivity analysis of expected shortfall
Scaillet, Olivier
- In:
Mathematical finance : an international journal of …
14
(
2004
)
1
,
pp. 115-129
Persistent link: https://www.econbiz.de/10001917791
Saved in:
4
Nonparametric tests for positive quadrant dependence
Denuit, Michel
;
Scaillet, Olivier
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
3
,
pp. 422-450
Persistent link: https://www.econbiz.de/10002214466
Saved in:
5
False discoveries in mutual fund performance : measuring luck in estimated alphas
Barras, Laurent
;
Scaillet, Olivier
;
Wermers, Russ
- In:
The journal of finance : the journal of the American …
65
(
2010
)
1
,
pp. 179-216
Persistent link: https://www.econbiz.de/10003923940
Saved in:
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