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How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
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Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics
Chen, Ying; Chua, Wee Song; Härdle, Wolfgang - In: Quantitative finance 19 (2019) 9, pp. 1473-1489
Persistent link: https://www.econbiz.de/10012194799
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Pairs trading with partial cointegration
Clegg, Matthew; Krauss, Christopher - In: Quantitative finance 18 (2018) 1, pp. 121-138
Persistent link: https://www.econbiz.de/10011905837
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Forecasting and trading high frequency volatility on large indices
Liu, Fei; Pantelous, Athanasios A.; Mettenheim, … - In: Quantitative finance 18 (2018) 5, pp. 737-748
Persistent link: https://www.econbiz.de/10011907914
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Stock market trend prediction using a functional time series approach
Huang, Shih-Feng; Guo, Meihui; Chen, May-Ru - In: Quantitative finance 20 (2020) 1, pp. 69-79
Persistent link: https://www.econbiz.de/10012194855
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Consumption, aggregate wealth and expected stock returns : a fractional cointegration approach
Ren, Yu; Xie, Tian - In: Quantitative finance 18 (2018) 12, pp. 2101-2112
Persistent link: https://www.econbiz.de/10012262986
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Optimal investment and consumption under a continuous-time cointegration model with exponential utility
Ma, Guiyuan; Zhu, Song-Ping - In: Quantitative finance 19 (2019) 7, pp. 1135-1149
Persistent link: https://www.econbiz.de/10012194749
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Time-frequency forecast of the equity premium
Faria, Gonçalo; Verona, Fabio - In: Quantitative finance 21 (2021) 12, pp. 2119-2135
Persistent link: https://www.econbiz.de/10012696823
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Neural network copula portfolio optimization for exchange traded funds
Zhao, Yang; Stasinakis, Charalampos; Sermpinis, Georgios; … - In: Quantitative finance 18 (2018) 5, pp. 761-775
Persistent link: https://www.econbiz.de/10011907933
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Estimating a regime switching pairs trading model
Elliott, Robert J.; Bradrania, Reza - In: Quantitative finance 18 (2018) 5, pp. 877-883
Persistent link: https://www.econbiz.de/10011907956