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Small sample properties of GARCH estimates and persistence

Hwang, Soosung; Pereira, Pedro L. Valls - In: The European journal of finance 12 (2006) 6/7, pp. 473-494

Persistent link: https://www.econbiz.de/10003382813

The effects of systematic sampling and temporal aggregation on discrete time long memory processes and their finite sample properties

Hwang, Soosung - In: Econometric theory 16 (2000) 3, pp. 347-372

Persistent link: https://www.econbiz.de/10001507491

Modelling emerging market risk premia using higher moments

Hwang, Soosung; Satchell, Stephen - In: International journal of finance & economics : IJFE 4 (1999) 4, pp. 271-296

Persistent link: https://www.econbiz.de/10001447124

Market risk and the concepts of fundamental volatility : measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets

Hwang, Soosung; Satchell, Stephen - In: Journal of banking & finance 24 (2000) 5, pp. 759-785

Persistent link: https://www.econbiz.de/10001467848

Assessing the merits of rank-based optimization for portfolio construction

Hwang, Soosung; Satchell, Stephen; Wright, Stephen M. - In: Advances in portfolio construction and implementation, (pp. 269-289). 2003

Persistent link: https://www.econbiz.de/10001771118

Modelling emerging market risk premia using higher moments

Hwang, Soosung; Satchell, Stephen - 1998

Persistent link: https://www.econbiz.de/10000656425

Calculating the misspecification in beta from using a proxy for the market portfolio

Hwang, Soosung; Satchell, Stephen - In: Applied financial economics 12 (2002) 11, pp. 771-781

Persistent link: https://www.econbiz.de/10001711916

VaR versus tracking error : the strenghts and weaknesses of two performance measures

Hwang, Soosung; Satchell, Stephen - In: Added value in financial institutions : risk or return?, (pp. 13-28). 2001

Persistent link: https://www.econbiz.de/10001662561

Valuing information using utility functions : how much should we pay for linear factor models?

Hwang, Soosung; Satchell, Stephen - In: The European journal of finance 11 (2005) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10002812434

Do Smart Beta ETFs Capture Factor Premiums? A Bayesian Perspective

Rubesam, Alexandre - 2019

We investigate the factor exposure of smart beta ETFs under model uncertainty using Bayesian variable selection. We find that smart beta ETFs have exposures to several factors, including size, value, momentum, quality, volatility/low beta, and dividend yield. The average return contribution of...

Persistent link: https://www.econbiz.de/10012899206