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ECONIS (ZBW)
248
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51
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51
A comparison of non-Gaussian VaR estimation and portfolio construction techniques
Allen, David
;
Lizieri, Colin
;
Satchell, Stephen
- In:
Journal of empirical finance
58
(
2020
),
pp. 356-368
Persistent link: https://www.econbiz.de/10012430709
Saved in:
52
Conditional extreme risk, black swan hedging, and asset prices
Rhee, S. Ghon
;
Wu, Feng
- In:
Journal of empirical finance
58
(
2020
),
pp. 412-435
Persistent link: https://www.econbiz.de/10012430713
Saved in:
53
Industry equi-correlation : a powerful predictor of stock returns
Wang, Yudong
;
Pan, Zhiyuan
;
Wu, Chongfeng
;
Wu, Wenfeng
- In:
Journal of empirical finance
59
(
2020
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012437933
Saved in:
54
On the stability of portfolio selection models
Cesarone, Francesco
;
Mango, Fabiomassimo
;
Mottura, Carlo D.
- In:
Journal of empirical finance
59
(
2020
),
pp. 210-234
Persistent link: https://www.econbiz.de/10012437975
Saved in:
55
Beta dispersion and market timing
Kuntz, Laura-Chloé
- In:
Journal of empirical finance
59
(
2020
),
pp. 235-256
Persistent link: https://www.econbiz.de/10012437978
Saved in:
56
Does program trading contribute to excess comovement of stock returns?
Li, Mingyi
;
Yin, Xiangkang
;
Zhao, Jing
- In:
Journal of empirical finance
59
(
2020
),
pp. 257-277
Persistent link: https://www.econbiz.de/10012437986
Saved in:
57
Asset pricing model uncertainty
Borup, Daniel
- In:
Journal of empirical finance
54
(
2019
),
pp. 166-189
Persistent link: https://www.econbiz.de/10012174790
Saved in:
58
Asset pricing with extreme liquidity risk
Wu, Ying
- In:
Journal of empirical finance
54
(
2019
),
pp. 143-165
Persistent link: https://www.econbiz.de/10012174793
Saved in:
59
Conditional tail-risk in cryptocurrency markets
Borri, Nicola
- In:
Journal of empirical finance
50
(
2019
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012169911
Saved in:
60
In search of the optimal number of fund subgroups
Yan, Cheng
;
Cheng, Tingting
- In:
Journal of empirical finance
50
(
2019
),
pp. 78-92
Persistent link: https://www.econbiz.de/10012169933
Saved in:
61
Dynamic portfolio allocation with time-varying jump risk
Zhou, Chunyang
;
Wu, Chongfeng
;
Wang, Yudong
- In:
Journal of empirical finance
50
(
2019
),
pp. 113-124
Persistent link: https://www.econbiz.de/10012169946
Saved in:
62
Optimal granularity for portfolio choice
Branger, Nicole
;
Lučivjanská, Katarína
; …
- In:
Journal of empirical finance
50
(
2019
),
pp. 125-146
Persistent link: https://www.econbiz.de/10012169950
Saved in:
63
Portfolio concentration and mutual fund performance
Fulkerson, Jon A.
;
Riley, Timothy B.
- In:
Journal of empirical finance
51
(
2019
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012170398
Saved in:
64
Decomposing mutual fund alpha into security selection and security weighting
Stark, Jeffrey R.
- In:
Journal of empirical finance
52
(
2019
),
pp. 76-91
Persistent link: https://www.econbiz.de/10012170636
Saved in:
65
Frictional diversification costs: Evidence from a panel of fund of hedge fund holdings
Joenväärä, Juha
;
Scherer, Bernd
- In:
Journal of empirical finance
52
(
2019
),
pp. 92-111
Persistent link: https://www.econbiz.de/10012170643
Saved in:
66
Expected and realized returns in conditional asset pricing models: a new testing approach
Antell, Jan
;
Vaihekoski, Mika
- In:
Journal of empirical finance
52
(
2019
),
pp. 220-236
Persistent link: https://www.econbiz.de/10012171126
Saved in:
67
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:
68
Exponential smoothing of realized portfolio weights
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Seifert, Miriam
- In:
Journal of empirical finance
53
(
2019
),
pp. 222-237
Persistent link: https://www.econbiz.de/10012171651
Saved in:
69
How do disposition effect and anchoring bias interact to impact momentum in stock returns?
Hur, Jungshik
;
Vivek Singh
- In:
Journal of empirical finance
53
(
2019
),
pp. 238-256
Persistent link: https://www.econbiz.de/10012171673
Saved in:
70
Sovereign bond-backed securities : a VAR-for-VaR and marginal expected shortfall assessment
Sola Perea, Maite de
;
Dunne, Peter G.
;
Puhl, Martin
; …
- In:
Journal of empirical finance
53
(
2019
),
pp. 33-52
Persistent link: https://www.econbiz.de/10012171680
Saved in:
71
Does household finance matter? : small financial errors with large social costs
Bhamra, Harjoat Singh
;
Uppal, Raman
- In:
The American economic review
109
(
2019
)
3
,
pp. 1116-1154
Persistent link: https://www.econbiz.de/10011992891
Saved in:
72
A factor-based approach of bond portfolio value-at-risk : the informational roles of macroeconomic and financial stress factors
Tu, Anthony H.
;
Chen, Yi-Hsuan
- In:
Journal of empirical finance
45
(
2018
),
pp. 243-268
Persistent link: https://www.econbiz.de/10012102413
Saved in:
73
Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo
;
Verona, Fabio
- In:
Journal of empirical finance
45
(
2018
),
pp. 228-242
Persistent link: https://www.econbiz.de/10012102423
Saved in:
74
Maximal predictability under long-term mean reversion
Hjalmarsson, Erik
- In:
Journal of empirical finance
45
(
2018
),
pp. 269-282
Persistent link: https://www.econbiz.de/10012102446
Saved in:
75
Momentum of return predictability
Wang, Yudong
;
Liu, Li
;
Ma, Feng
;
Diao, Xundi
- In:
Journal of empirical finance
45
(
2018
),
pp. 141-156
Persistent link: https://www.econbiz.de/10012102447
Saved in:
76
Residual momentum in Japan
Chang, Rosita P.
;
Ko, Kuan-Cheng
;
Nakano, Shinji
;
Rhee, …
- In:
Journal of empirical finance
45
(
2018
),
pp. 283-299
Persistent link: https://www.econbiz.de/10012102451
Saved in:
77
Investment and profitability versus value and momentum : the price of residual risk
Li, Yuming
- In:
Journal of empirical finance
46
(
2018
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012103433
Saved in:
78
Market timing over the business cycle
Sander, Magnus
- In:
Journal of empirical finance
46
(
2018
),
pp. 130-145
Persistent link: https://www.econbiz.de/10012103439
Saved in:
79
Portfolio construction and crowding
Bruno, Salvatore
;
Chincarini, Ludwig Boris
;
Ohara, Frank
- In:
Journal of empirical finance
47
(
2018
),
pp. 190-206
Persistent link: https://www.econbiz.de/10012103493
Saved in:
80
Portfolio optimisation under flexible dynamic dependence modelling
Bernardi, Mauro
;
Catania, Leopoldo
- In:
Journal of empirical finance
48
(
2018
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012109219
Saved in:
81
A labor news hedge portfolio and the cross-section of expected stock returns
Stotz, Olaf
- In:
Journal of empirical finance
48
(
2018
),
pp. 123-139
Persistent link: https://www.econbiz.de/10012109282
Saved in:
82
Smart beta, smart money
Chen, Qinhua
;
Chi, Yeguang
- In:
Journal of empirical finance
49
(
2018
),
pp. 19-38
Persistent link: https://www.econbiz.de/10012117713
Saved in:
83
Banks as secret keepers
Dang, Tri-Vi
;
Gorton, Gary
;
Holmström, Bengt
; …
- In:
The American economic review
107
(
2017
)
4
,
pp. 1005-1029
Persistent link: https://www.econbiz.de/10011644321
Saved in:
84
Relation between higher order comoments and dependence structure of equity portfolio
Cerrato, Mario
;
Crosby, John
;
Kim, Minjoo
;
Zhao, Yang
- In:
Journal of empirical finance
40
(
2017
),
pp. 101-120
Persistent link: https://www.econbiz.de/10011744455
Saved in:
85
Return expectations and risk aversion heterogeneity in household portfolios
Bucciol, Alessandro
;
Miniaci, Raffaele
;
Pastorello, Sergio
- In:
Journal of empirical finance
40
(
2017
),
pp. 201-219
Persistent link: https://www.econbiz.de/10011745022
Saved in:
86
Portfolio selection with mental accounts and estimation risk
Alexander, Gordon J.
;
Baptista, Alexandre M.
;
Yan, Shu
- In:
Journal of empirical finance
41
(
2017
),
pp. 161-186
Persistent link: https://www.econbiz.de/10011746971
Saved in:
87
Euro-area quantitative easing and portfolio rebalancing
Koijen, Ralph S. J.
;
Koulischer, François
;
Nguyen, Benoît
- In:
The American economic review
107
(
2017
)
5
,
pp. 621-627
Persistent link: https://www.econbiz.de/10011786222
Saved in:
88
Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro
;
Maruotti, Antonello
;
Petrella, Lea
- In:
Journal of empirical finance
43
(
2017
),
pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
Saved in:
89
The profitability of low-volatility
Blitz, David
;
Vidojevic, Milan
- In:
Journal of empirical finance
43
(
2017
),
pp. 33-42
Persistent link: https://www.econbiz.de/10011817898
Saved in:
90
Systematic cojumps, market component portfolios and scheduled macroeconomic announcements
Kam Fong Chan
;
Bowman, Robert G.
;
Neely, Christopher J.
- In:
Journal of empirical finance
43
(
2017
),
pp. 43-58
Persistent link: https://www.econbiz.de/10011817903
Saved in:
91
The fundamental law of active management : redux
Ding, Zhuanxin
;
Martin, R. Douglas
- In:
Journal of empirical finance
43
(
2017
),
pp. 91-114
Persistent link: https://www.econbiz.de/10011817910
Saved in:
92
Predicting international stock returns with conditional price-to-fundamental ratios
Lawrenz, Jochen
;
Zorn, Josef
- In:
Journal of empirical finance
43
(
2017
),
pp. 159-184
Persistent link: https://www.econbiz.de/10011817953
Saved in:
93
Profitability of insider trading in Europe : a performance evaluation approach
Ge̜bka, Bartosz
;
Korczak, Adriana
;
Korczak, Piotr
; …
- In:
Journal of empirical finance
44
(
2017
),
pp. 66-90
Persistent link: https://www.econbiz.de/10011817990
Saved in:
94
Tail-risk hedging, dividend chasing, and investment constraints : the use of exchange-traded notes by mutual funds
Rakowski, David
;
Shirley, Sara E.
;
Stark, Jeffrey R.
- In:
Journal of empirical finance
44
(
2017
),
pp. 91-107
Persistent link: https://www.econbiz.de/10011817999
Saved in:
95
Diversification benefits of commodities : a stochastic dominance efficiency approach
Daskalaki, Charoula
;
Skiadopoulos, George
;
Topaloglou, …
- In:
Journal of empirical finance
44
(
2017
),
pp. 250-269
Persistent link: https://www.econbiz.de/10011818029
Saved in:
96
The evolving beta-liquidity relationship of hedge funds
Siegmann, Adriaan Hendrik
;
Stefanov, Denitsa
- In:
Journal of empirical finance
44
(
2017
),
pp. 286-303
Persistent link: https://www.econbiz.de/10011818033
Saved in:
97
Displaced relative changes in historical simulation : application to risk measures of interest rates with phases of negative rates
Fries, Christian
;
Nigbur, Tobias
;
Seeger, Norman
- In:
Journal of empirical finance
42
(
2017
),
pp. 175-198
Persistent link: https://www.econbiz.de/10011808562
Saved in:
98
A risk-return explanation of the momentum-reversal "anomaly"
Booth, G. Geoffrey
;
Fung, Hung-gay
;
Leung, Wai K.
- In:
Journal of empirical finance
35
(
2016
),
pp. 68-77
Persistent link: https://www.econbiz.de/10011662718
Saved in:
99
Conditional portfolio allocation : does aggregate market liquidity matter?
Bazgour, Tarik
;
Heuchenne, Cedric
;
Sougné, Danielle
- In:
Journal of empirical finance
35
(
2016
),
pp. 110-135
Persistent link: https://www.econbiz.de/10011662728
Saved in:
100
Risk and return of short-duration equity investments
Cejnek, Georg
;
Randl, Otto
- In:
Journal of empirical finance
36
(
2016
),
pp. 181-198
Persistent link: https://www.econbiz.de/10011662843
Saved in:
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