Search Results - subject:"Multi factor models"

Can we invest on the basis of equity risk premia and risk factors from multi-factor models?

Sakowski, Paweł; Slepaczuk, Robert; Wywiał, Mateusz - In: Economics and business review 2 (2016) 3, pp. 78-98

Persistent link: https://www.econbiz.de/10011634969

Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions

Buchner, Axel - In: Finance research letters 16 (2016), pp. 154-161

Persistent link: https://www.econbiz.de/10011656141

A performance measurement application for a wastewater treatment plant

Rao, Mohan - In: International journal of services and standards 10 (2015) 3, pp. 134-147

Persistent link: https://www.econbiz.de/10011526326

An integrated risk-budgeting approach for multi-strategy equity portfolios

Carvalho, Raul Leote de; Lu, Xiao; Moulin, Pierre - In: The journal of asset management 15 (2014) 1, pp. 24-47

Persistent link: https://www.econbiz.de/10010370071

Long-run equilibrium relationship in the international stock market factor systems

Choi, Hyung-Suk - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 32 (2014) 1, pp. 101-119

Persistent link: https://www.econbiz.de/10010391070

Measuring concentration risk for regulatory purposes

Gürtler, Marc; Hibbeln, Martin; Vöhringer, Clemens - 2007

under Pillar 2 of Basel II as well as for managing portfolios and allocating economic capital. Existing multi-factor models …

Persistent link: https://www.econbiz.de/10010307955

Measuring concentration risk for regulatory purposes

Gürtler, Marc; Hibbeln, Martin; Vöhringer, Clemens - Department Wirtschaftswissenschaften, Technische … - 2007

under Pillar 2 of Basel II as well as for managing portfolios and allocating economic capital. Existing multi-factor models …

Persistent link: https://www.econbiz.de/10009646409

The effects of economic variables in the UK stock market

Leone, Vitor - 2006

This thesis examines the links between economic time-series innovations and statisticalrisk factors in the UK stock market using principal components analysis (PCA) and thegeneral-to-specific (Gets) approach to econometric modelling.A multi-factor risk structure for the UK stock market is...

Persistent link: https://www.econbiz.de/10009461291

Constructing and testing alternative versions of the Fama-French and Cargart models in the UK

Gregory, Alan; Tharyan, Rajesh; Christidis, Angela - In: Journal of business finance & accounting : JBFA 40 (2013) 1/2, pp. 172-214

Persistent link: https://www.econbiz.de/10009729505

The determinants of sovereign credit spread changes in the Euro-zone

Oliveira, Luís; Curto, José Dias; Nunes, João Pedro - In: Journal of International Financial Markets, … 22 (2012) 2, pp. 278-304

Using a database of Euro-denominated government bonds covering the period from January 2000 to December 2010, this paper provides an empirical analysis of the determinants of government credit spreads in the Euro-area. The analysis is divided into two sub-periods delimited by the global...

Persistent link: https://www.econbiz.de/10011041514