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The economic value of volatility timing with realized jumps
Nolte, Ingmar; Xu, Qi - In: Journal of empirical finance 34 (2015), pp. 45-59
Persistent link: https://www.econbiz.de/10011556992
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Nonparametric tests of conditional mean-variance efficiency of a benchmark portofolio
Wang, Q. Kevin - In: Journal of empirical finance 9 (2002) 2, pp. 133-169
Persistent link: https://www.econbiz.de/10001655784
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A nonparametric test of market timing
Jiang, Wei - In: Journal of empirical finance 10 (2003) 4, pp. 399-425
Persistent link: https://www.econbiz.de/10001782288
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Testing multi-beta asset pricing models
Velu, Raja P.; Zhou, Guofu - In: Journal of empirical finance 6 (1999) 3, pp. 219-241
Persistent link: https://www.econbiz.de/10001426357
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Sensitivity analysis of values at risk
Gouriéroux, Christian; Laurent, Jean-Paul; Scaillet, … - In: Journal of empirical finance 7 (2000) 3/4, pp. 225-245
Persistent link: https://www.econbiz.de/10001557715
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Characteristic-sorted portfolios and macroeconomic risks : an orthogonal decomposition
Adcock, Christopher; Bessler, Wolfgang; Conlon, Thomas - In: Journal of empirical finance 65 (2022), pp. 24-50
Persistent link: https://www.econbiz.de/10013286399
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Liquidity and conditional portfolio choice : a nonparametric investigation
Ghysels, Eric; Pereira, João Pedro - In: Journal of empirical finance 15 (2008) 4, pp. 679-699
Persistent link: https://www.econbiz.de/10003759747
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Non-parametric momentum based on ranks and signs
Chen, Tsung-Yu; Chou, Pin-huang; Ko, Kuan-Cheng; Rhee, … - In: Journal of empirical finance 60 (2021), pp. 94-109
Persistent link: https://www.econbiz.de/10012692984
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An empirical Bayesian approach to stein-optimal covariance matrix estimation
Gillen, Benjamin J. - In: Journal of empirical finance 29 (2014), pp. 402-420
Persistent link: https://www.econbiz.de/10011300451
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Sampling error and double shrinkage estimation of minimum variance portfolio
Candelon, Bertrand; Hurlin, Christophe; Tokpavi, S. - In: Journal of empirical finance 19 (2012) 4, pp. 511-527
Persistent link: https://www.econbiz.de/10009615665