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Mutual funds dynamics and economic predictors

Amisano, Gianni; Savona, Roberto - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 302-330

Persistent link: https://www.econbiz.de/10011987457

Perturbations in DSGE models : an odd derivatives theorem

Lott, Sherwin - In: Journal of economic dynamics & control 106 (2019), pp. 1-15

Persistent link: https://www.econbiz.de/10012131998

Statistical modelling of downside risk spillovers

Ahelegbey, Daniel Felix - 2020

Persistent link: https://www.econbiz.de/10012321946

Allocation to industry portfolios under Markov switching returns

Tudor, Deniz Kebabci - In: Studies in economics and finance 30 (2013) 4, pp. 317-346

Persistent link: https://www.econbiz.de/10010207358

Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio

Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; … - In: The journal of risk model validation 9 (2015) 3, pp. 41-70

Persistent link: https://www.econbiz.de/10011410323

Have risk premia vanished?

Smith, Simon C.; Timmermann, Allan - 2021

Persistent link: https://www.econbiz.de/10012508216

A generalized entropy approach to portfolio selection under a hidden markov model

MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25

is employed for the estimation of the hidden Markov model including the asset return parameters, while the out …

Persistent link: https://www.econbiz.de/10013375264

Modeling and estimation of synchronization in size-sorted portfolio returns

Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 4, pp. 129-140

reflects a link between financial returns and real economic activity from the viewpoint of ‘financial accelerator theory’ where …

Persistent link: https://www.econbiz.de/10013471198

Factor selection and structural breaks

Chib, Siddhartha; Smith, Simon C. - 2024 - Draft: May 31, 2024

Persistent link: https://www.econbiz.de/10015055696

Long-term portfolio management with a structural macroeconomic model

Cales, Ludovic; Jondeau, Eric; Rockinger, Michael - 2013

The aim of this paper is to investigate long-term portfolio management in a fully structural macro- financial framework. First, we estimate a Dynamic Stochastic General Equilibrium (DSGE) model that describes the dynamic of the US economy and financial markets. In addition to the typical...

Persistent link: https://www.econbiz.de/10010256360