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Multivariate skewed student’s t copula in the analysis of nonlinear and asymmetric dependence in the German equity market

Sun, Wei; Račev, Svetlozar T.; Stojanov, Stojan Dimitrov; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10009513633

Optimal portfolio management in highly volatile markets

Stoyanov, Stoyan V. - 2005

Persistent link: https://www.econbiz.de/10003346695

Momentum strategies based on reward-risk stock selection criteria

Račev, Svetlozar T.; Jašić, Teo; Stoyanov, Stoyan; … - In: Journal of banking & finance 31 (2007) 8, pp. 2325-2346

Persistent link: https://www.econbiz.de/10003522928

Equity Premium Puzzle or Faulty Economic Modelling?

Shirvani, Abootaleb - 2020

In this paper, we revisit the equity premium puzzle reported in 1985 by Mehra and Prescott. We show that the large equity premium that they report can be explained by choosing a more appropriate distribution for the return data. We demonstrate that the high-risk aversion value observed by Mehra...

Persistent link: https://www.econbiz.de/10012842459

Equity premium puzzle or faulty economic modelling?

Shirvani, Abootaleb; Stoyanov, Stoyan V.; Fabozzi, Frank J. - In: Review of quantitative finance and accounting 56 (2021) 4, pp. 1329-1342

Persistent link: https://www.econbiz.de/10012549795

How fat are the tails of equity market indices?

Stoyanov, Stoyan V.; Loh, Lixia; Fabozzi, Frank J. - In: International journal of finance & economics : IJFE 22 (2017) 3, pp. 181-200

Persistent link: https://www.econbiz.de/10011960289

Dynamics of equity factor returns and asset pricing

Stoyanov, Stoyan V.; Fabozzi, Francesco A. - In: Journal of financial econometrics 19 (2021) 1, pp. 178-201

Persistent link: https://www.econbiz.de/10012504326