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Realized mean-variance efficient portfolio selection and euro area stock market integration

Morana, Claudio - In: Applied financial economics 20 (2010) 10/12, pp. 989-1001

Persistent link: https://www.econbiz.de/10009009795

New insights on the US OIS spreads term structure during the recent financial turmoil

Morana, Claudio - In: Applied financial economics 24 (2014) 4/6, pp. 291-317

Persistent link: https://www.econbiz.de/10010399449

Realized betas and the cross-section of expected returns

Morana, Claudio - In: Applied financial economics 19 (2009) 16/18, pp. 1371-1381

What explains the cross section of expected returns for the 25 size/value Fama-French (FF) portfolios? It is found that modelling time-varying betas is important to explain the cross section of expected returns, as well as to comply with the time series restriction on Jensen-alpha. Support for a...

Persistent link: https://www.econbiz.de/10003886197

Extreme value modelling for forecasting market crisis impacts

Bagliano, Fabio; Morana, Claudio - In: Applied financial economics 20 (2010) 1, pp. 63-73

Persistent link: https://www.econbiz.de/10008348810

Realized betas and the cross-section of expected returns

Morana, Claudio - In: Applied financial economics 19 (2009) 16-18, pp. 1371-1382

Persistent link: https://www.econbiz.de/10008320857

Aggregate hedge funds' flows and returns

Beltratti, Andrea; Morana, Claudio - In: Applied financial economics 18 (2008) 21, pp. 1755

Persistent link: https://www.econbiz.de/10008147896

Aggregate hedge funds' flows and returns

Beltratti, Andrea; Morana, Claudio - In: Applied financial economics 18 (2008) 19-21, pp. 1755

Persistent link: https://www.econbiz.de/10008167923

Realized betas and the cross-section of expected returns

Morana, Claudio - In: Applied financial economics 19 (2009) 17, pp. 1371-1382

Persistent link: https://www.econbiz.de/10008284200

Structural breaks and common factors in the volatility of the Fama–French factor portfolios

Morana, Claudio; Beltratti, Andrea - In: Applied financial economics 16 (2006) 14, pp. 1059-1074

Persistent link: https://www.econbiz.de/10007630409

Realized mean-variance efficient portfolio selection and euro area stock market integration

Morana, Claudio - In: Applied financial economics 20 (2010) 12, pp. 989-1002

Persistent link: https://www.econbiz.de/10008427739