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Long/Short Equity Risk Premia Parity Portfolios via Implicit Factors in Regularized Covariance Regression

van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023

asset management which is based on dynamic management of a risk parity portfolio-of-portfolios investment strategy. In …

Persistent link: https://www.econbiz.de/10014348857

Co-movement between RMB and New Taiwan Dollars : evidences from NDF markets

Lien, Da-hsiang Donald; Li, Yang; Zhou, Chunyang; Lee, Geul - In: The North American journal of economics and finance : a … 28 (2014), pp. 265-272

Persistent link: https://www.econbiz.de/10010461942

Estimating dynamic copula dependence using intraday data

Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529

Persistent link: https://www.econbiz.de/10011339412

On the risk comovements between the crude oil market and U.S. dollar exchange rates

Truchis, Gilles de; Keddad, Benjamin - In: Economic modelling 52 (2016), pp. 206-215

Persistent link: https://www.econbiz.de/10011645629

Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model

Pfeuffer, Marius; Nagl, Maximilian; Fischer, Matthias; … - In: Journal of risk 22 (2019/2020) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10012297503

Gaussian rank correlation and regression

Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020

Persistent link: https://www.econbiz.de/10012232995

Gaussian rank correlation and regression

Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020

Persistent link: https://www.econbiz.de/10012308723

Gaussian rank correlation and regression

Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - In: Essays in honor of M. Hashem Pesaran : panel modeling, …, (pp. 269-306). 2022

Persistent link: https://www.econbiz.de/10013194599

Spatial contagion between financial markets : new evidence of asymmetric measures

Miled, Wafa; Ftiti, Zied; Sahut, Jean-Michel - In: Risk management decisions and value under uncertainty, (pp. 1183-1220). 2022

Persistent link: https://www.econbiz.de/10013342100

Renewal Based Volatility Estimation

Li, Yifan; Nolte, Ingmar; Nolte (Lechner), Sandra - 2019

This paper develops the idea of renewal time sampling, a novel sampling scheme constructed from stopping times of semimartingales. Based on this new sampling scheme we propose a class of volatility estimators named renewal based volatility estimators. In this paper we show that: (1) The spot...

Persistent link: https://www.econbiz.de/10014116287