Similar Search Results

Chapter 14. Investment Performance: A Review and Synthesis

Ferson, Wayne E. - 2013

This chapter provides a perspective on the rapidly developing literature on investment performance evaluation. I use the stochastic discount factor approach to present and critique current performance measurement techniques in a unified setting. I offer a number of suggestions to improve...

Persistent link: https://www.econbiz.de/10014025364

Do co-jumps impact correlations in currency markets?

Barunik, Jozef; Vacha, Lukas - In: Journal of financial markets 37 (2018), pp. 97-119

Persistent link: https://www.econbiz.de/10012001025

Currency risk : comovements and intraday cojumps

Lahaye, Jérôme - In: Annals of economics and statistics 123/124 (2016), pp. 53-76

Persistent link: https://www.econbiz.de/10011592734

On the profitability of momentum strategies and optimal leverage rules

Lundström, Christian - 2020

Persistent link: https://www.econbiz.de/10012498357

Improving Value-at-Risk estimation from the normal EGARCH model

Gorji, Mahsa; Sajjad, Rasoul - In: Contemporary economics 11 (2017) 1, pp. 91-106

Returns in financial assets display consistent excess kurtosis and skewness, implying the presence of large fluctuations not forecasted by Gaussian models. This paper applies a resampling method based on the bootstrap and a bias-correction step to improve Value-at-Risk (VaR) forecasting ability...

Persistent link: https://www.econbiz.de/10011632622

Portfolio construction using bootstrapping neural networks : evidence from global stock market

Hsiao, Hsiao-Fen; Huang, Jiang-Chuan; Lin, Zheng-Wei - In: Review of derivatives research 23 (2020) 3, pp. 227-247

Persistent link: https://www.econbiz.de/10012303211

Bootstrapping laplace transforms of volatility

Hounyo, Ulrich; Liu, Zhi; Varneskov, Rasmus Tangsgaard - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 1059-1103

This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed‐span setting using … the spot variance as well as the covariance, correlation, and beta between two semimartingales, and adapt our bootstrap … procedure to the requisite scenario. We establish central limit theory for our estimators and first‐order asymptotic validity of …

Persistent link: https://www.econbiz.de/10014362565

Predictability hidden by anomalous observations

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013 - This version: March 2013

Persistent link: https://www.econbiz.de/10010221576

Testing for monotonicity in expected asset returns

Romano, Joseph P.; Wolf, Michael - 2013

Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...

Persistent link: https://www.econbiz.de/10010316931

Alterntive tests for monotonicity in expected asset returns

Romano, Joseph P.; Wolf, Michael - 2011

Many postulated relations in finance imply that expected asset returns should monotonically increase in a certain characteristic. To examine the validity of such a claim, one typically considers a finite number of return categories, ordered according to the underlying characteristic. A standard...

Persistent link: https://www.econbiz.de/10010316938