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Factor high-frequency-based volatility (HEAVY) models

Sheppard, Kevin; Xu, Wen - In: Journal of financial econometrics 17 (2019) 1, pp. 33-65

Persistent link: https://www.econbiz.de/10012054425

Return prediction with time varying betas : a research in BIST

Akyatan, Ayca; Çetin, M. Koray - In: International journal of accounting and finance 10 (2020) 1, pp. 64-86

Persistent link: https://www.econbiz.de/10012504722

Isolating the systematic and unsystematic components of a single stock's (or portfolio's) standard deviation : a comment

Pizzutilo, Fabio - In: Applied economics 47 (2015) 58/60, pp. 6277-6283

Persistent link: https://www.econbiz.de/10011457263

Systematic extreme downside risk

Harris, Richard D. F.; Nguyen, Linh; Stoja, Evarist - In: Journal of international financial markets, … 61 (2019), pp. 128-142

Persistent link: https://www.econbiz.de/10012128287

Asymmetric jump beta estimation with implications for portfolio risk management

Alexeev, Vitali; Urga, Giovanni; Yao, Wenying - In: International review of economics & finance : IREF 62 (2019), pp. 20-40

Persistent link: https://www.econbiz.de/10012205461

Stock profiling using time-frequency-varying systematic risk measure

Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … different asset allocation. We conclude that the standard CAPM assumes short-run investment. Then, investors should consider … time-frequency CAPM to perform systematic risk analysis and portfolio allocation. …

Persistent link: https://www.econbiz.de/10014289044