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Papageorgiou, Nicolas A.; Reeves, Jonathan J.; Xie, Xuan - In: International journal of forecasting 32 (2016) 2, pp. 548-558

Persistent link: https://www.econbiz.de/10011597207

Targeting market neutrality

Lee, John B.; Reeves, Jonathan J.; Tjahja, Alice C.; … - In: Quantitative finance 19 (2019) 3, pp. 437-451

Persistent link: https://www.econbiz.de/10012194663

Rebound effect of transportation considering additional capital costs and input-output relationships : the role of subsistence consumption and unmet demand

Li, Jianglong; Li, Aijun; Xie, Xuan - In: Energy economics 74 (2018), pp. 441-455

Persistent link: https://www.econbiz.de/10011972901

Forecasting stock return volatility at the quarterly frequency: an evaluation of time series approaches

Reeves, Jonathan J.; Xie, Xuan - In: Applied Financial Economics 24 (2014) 5, pp. 347-356

The last decade has seen substantial advances in the measurement, modelling and forecasting of volatility which has centered around the realized volatility literature. To date, most of the focus has been on the daily and monthly frequencies, with little attention on longer horizons such as the...

Persistent link: https://www.econbiz.de/10010760569

The Hodrick-Prescott filter, a generalization, and a new procedure for extracting an empirical cycle from a series

Reeves, Jonathan J.; Blyth, Conrad Alexander; Triggs, … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 4 (2000) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10001773101

Shifts in beta and the TARP announcement

Phin, Andrew; Prono, Todd; Reeves, Jonathan J.; Saxena, … - In: Finance research letters 47 (2022) 2, pp. 1-6

Persistent link: https://www.econbiz.de/10013553701

Beta forecasting at long horizons

Cenesizoglu, Tolga; Ribeiro, Fabio de Oliveira Ferrazoli; … - In: International journal of forecasting 33 (2017) 4, pp. 936-957

Persistent link: https://www.econbiz.de/10011746930

Monthly beta forecasting with low-, medium- and high-frequency stock returns

Cenesizoglu, Tolga; Liu, Qianqiu; Reeves, Jonathan J.; … - In: Journal of forecasting 35 (2016) 6, pp. 528-541

Persistent link: https://www.econbiz.de/10011595959

CAPM, components of beta and the cross section of expected returns

Cenesizoglu, Tolga; Reeves, Jonathan J. - In: Journal of empirical finance 49 (2018), pp. 223-246

Persistent link: https://www.econbiz.de/10012117743

Portfolio management with targeted constant market volatility

Bao Doan; Papageorgiou, Nicolas A.; Reeves, Jonathan J.; … - In: Insurance / Mathematics & economics 83 (2018), pp. 134-147

Persistent link: https://www.econbiz.de/10011944110