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Optimal quantile hedging under Markov regime switching

Lien, Da-hsiang Donald; Wang, Ziling; Yu, Xiaojian - In: Empirical economics : a quarterly journal of the … 60 (2021) 5, pp. 2177-2201

Persistent link: https://www.econbiz.de/10012585550

Can mutual fund investors benefit from volatility managing? : evidence from China

Zhang, Xili; Zheng, Yiran; Lien, Da-hsiang Donald; Yu, … - In: Pacific-Basin finance journal 83 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014491107

Extra-market sensitivity to a gold price factor : evidence from national market portfolios

Davidson, Sinclair; Faff, Robert W. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 23 (1999) 3, pp. 1-14

Persistent link: https://www.econbiz.de/10001437502

The use of domestic and world market indexes in the estimation of time-varying betas

McKenzie, Michael D.; Brooks, Robert; Faff, Robert W. - In: Journal of multinational financial management 10 (2000) 1, pp. 91-106

Persistent link: https://www.econbiz.de/10001481105

Beta stability and portfolio formation

Brooks, Robert; Faff, Robert W.; Lee, John H. H. - 1993

Persistent link: https://www.econbiz.de/10000869915

Time-varying beta risk of Australian industry portfolios : a comparison of modelling techniques

Brooks, Robert - In: Australian journal of management 23 (1998) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10001256324

Beta stability and portfolio formation

Brooks, Robert - In: Pacific-Basin finance journal 2 (1994) 4, pp. 463-479

Persistent link: https://www.econbiz.de/10001178922

Time stationarity of systematic risk : some Australian evidence

Faff, Robert W.; Lee, John H. H.; Fry, Tim R. L. - 1990

Persistent link: https://www.econbiz.de/10000849458

Do futures-based strategies enhance dynamic portfolio insurance?

Do, Binh; Faff, Robert W. - In: The journal of futures markets 24 (2004) 6, pp. 591-608

Persistent link: https://www.econbiz.de/10002059400

The Profitability of Pairs Trading Strategies : Distance, Cointegration, and Copula Methods

Rad, Hossein - 2016

We perform an extensive and robust study of the performance of three different pairs trading strategies - the distance, cointegration, and copula methods - on the entire US equity market from 1962 to 2014 with time-varying trading costs. For the cointegration and copula methods, we design a...

Persistent link: https://www.econbiz.de/10013004622