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Evaluation of Malaysian mutual funds in the maximum drawdown risk measure framework

Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: International journal of managerial finance : IJMF 9 (2013) 3, pp. 247-270

Persistent link: https://www.econbiz.de/10009764936

Average drawdown risk and capital asset pricing

Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10010241626

Average drawdown risk reduction and risk tolerances

Tavakoli Baghdadabad, Mohammad Reza - In: Research in economics : an international review of economics 68 (2014) 3, pp. 264-276

Persistent link: https://www.econbiz.de/10010510336

Maximum drawdown and risk tolerances

Tavakoli Baghdadabad, Mohammad Reza - In: Review of Pacific Basin financial markets and policies 18 (2015) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10011286060

The effects of drawdown risk reduction on the US hedge funds

Tavakoli Baghdadabad, Mohammad Reza - In: Journal of derivatives & hedge funds 19 (2013) 1, pp. 50-73

Persistent link: https://www.econbiz.de/10009782529

A dynamic asset pricing model with time-varying factor and idiosyncratic risk

Glabadanidis, Paskalis - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 247-264

Persistent link: https://www.econbiz.de/10003884186

A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk

Glabadanidis, Paskalis - 2017

This paper uses a multivariate GARCH model to account for time variation in factor loadings and idiosyncratic risk in improving the performance of the CAPM and the three-factor Fama-French model. I show how to incorporate time variation in betas and the second moments of the residuals in a very...

Persistent link: https://www.econbiz.de/10012976825