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The profitability of lead-lag arbitrage at high frequency
Poutré, Cédric; Dionne, Georges; Yergeau, Gabriel - In: International journal of forecasting 40 (2024) 3, pp. 1002-1021
Persistent link: https://www.econbiz.de/10014547234
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Forecasting expected shortfall : should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe; Simonato, Jean-Guy; Dionne, Georges - In: International journal of forecasting 39 (2023) 1, pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
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Betas and the myth of market neutrality
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