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Hedge fund return dependence : model misspecification or liquidity spirals?

Sias, Richard W.; Turtle, Harry J.; Zykaj, Blerina - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 5, pp. 2157-2181

Persistent link: https://www.econbiz.de/10011928994

Temporal dependence in asset pricing models

Turtle, Harry J. - In: Economics letters 45 (1994) 3, pp. 361-366

Persistent link: https://www.econbiz.de/10001165771

A note on the analytics and geometry of limiting mean : variance investment opportunity sets

Korkie, Robert M.; Turtle, Harry J. - In: Review of quantitative finance and accounting 9 (1997) 3, pp. 289-300

Persistent link: https://www.econbiz.de/10001591118

Tests of conditional asset pricing with time-varying moments and risk prices

Turtle, Harry J. - In: Journal of financial and quantitative analysis : JFQA 29 (1994) 1, pp. 15-29

Persistent link: https://www.econbiz.de/10001166028

The dual contributions of information instruments in return models : magnitude and direction predictability

Korkie, Robert M.; Sivakumar, Ranjini; Turtle, Harry J. - In: Journal of empirical finance 9 (2002) 5, pp. 511-523

Persistent link: https://www.econbiz.de/10001712017

Modeling conditional covariances with economic information instruments

Turtle, Harry J.; Wang, Kainan - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 2, pp. 217-236

Persistent link: https://www.econbiz.de/10010488567

Sentiment bubbles

Berger, Dave; Turtle, Harry J. - In: Journal of financial markets 23 (2015), pp. 59-74

Persistent link: https://www.econbiz.de/10011377495

VC ownership post-IPO : when, why, and how do VCs exit?

Basnet, Anup; Kuntara Pukthuanthong; Turtle, Harry J.; … - 2025

Persistent link: https://www.econbiz.de/10015393897

Limiting investment opportunity sets, asset pricing, and the Roll critique

Korkie, Robert M.; Turtle, Harry J. - In: Journal of investment management : JOIM 22 (2024) 1, pp. 4-14

Persistent link: https://www.econbiz.de/10014546322

Limiting Investment Opportunity Sets, Asset Pricing, and the Roll Critique

Korkie, Robert M.; Turtle, Harry J. - 2023

We conduct an experiment in which assets of lower volatility risk are sequentially added to the investment opportunity set (IOS) of a fixed investment horizon. Econometric spanning tests show that the limiting IOS is the linear boundaries defined by the limiting IOS asymptotes, implying more...

Persistent link: https://www.econbiz.de/10014265094