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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
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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
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The economic value of range-based covariance between stock and bond returns with dynamic copulas
Wu, Chih-chiang; Liang, Shin-shun - In: Journal of empirical finance 18 (2011) 4, pp. 711-727
Persistent link: https://www.econbiz.de/10009306532
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Overlapping momentum portfolios
Blanco, Ivan; Jesus, Miguel de; Remesal, Alvaro - In: Journal of empirical finance 72 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014476787
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Time series momentum and reversal : intraday information from realized semivariance
Liu, Zhenya; Lu, Shanglin; Li, Bo; Wang, Shixuan - In: Journal of empirical finance 72 (2023), pp. 54-77
Persistent link: https://www.econbiz.de/10014476799
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Do financial variables help predict the conditional distribution of the market portfolio?
Zamenjani, Azam Shamsi - In: Journal of empirical finance 62 (2021), pp. 327-345
Persistent link: https://www.econbiz.de/10012693441
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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
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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
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Are idiosyncratic volatility and MAX priced in the Canadian market?
Aboulamer, Anas; Kryzanowski, Lawrence - In: Journal of empirical finance 37 (2016), pp. 20-36
Persistent link: https://www.econbiz.de/10011662897
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A trade-off in corporate diversification
Ekkayokkaya, Manapol; Paudyal, Krishna - In: Journal of empirical finance 34 (2015), pp. 275-292
Persistent link: https://www.econbiz.de/10011557149