Similar Search Results - EconBiz

Risk-based dynamic asset allocation with extreme tails and correlations

Wang, Peng; Sullivan, Rodney N.; Ge, Yizhi - In: The journal of portfolio management : a publication of … 38 (2012) 4, pp. 26-42

Persistent link: https://www.econbiz.de/10009669596

Liquidity-Driven Dynamic Asset Allocation

Xiong, James X. - 2016

We propose a model of portfolio selection that adjusts an investors' portfolio allocation in accordance with changing market liquidity environments and market conditions. We found that market liquidity provides a useful “leading indicator” in dynamic asset allocation. Specifically, market...

Persistent link: https://www.econbiz.de/10013007801

Superior firm performance under conditional communication between top hierarchy and the subordinates

Wang, Peng - In: Economic modelling 90 (2020), pp. 516-526

Persistent link: https://www.econbiz.de/10012428991

A generalized nonlinear IV unit root test for panel data with cross-sectional dependence

Wang, Shaoping; Wang, Peng; Yang, Jisheng; Li, Zinai - In: Journal of econometrics 157 (2010) 1, pp. 101-109

Persistent link: https://www.econbiz.de/10008661829

Conditional Markov chain and its application in economic time series analysis

Bai, Jushan; Wang, Peng - In: Journal of applied econometrics 26 (2011) 5, pp. 715-734

Persistent link: https://www.econbiz.de/10009408923

Identification theory for high dimensional static and dynamic factor models

Bai, Jushan; Wang, Peng - In: Journal of econometrics 178 (2014) 2, pp. 794-804

Persistent link: https://www.econbiz.de/10010257659

Liquidity-driven dynamic asset allocation

Xiong, James X.; Sullivan, Rodney N.; Wang, Peng - In: The journal of portfolio management : a publication of … 39 (2013) 3, pp. 102-111

Persistent link: https://www.econbiz.de/10009750747

Identification and estimation of dynamic factor models

Bai, Jushan; Wang, Peng - 2012

Persistent link: https://www.econbiz.de/10009752864

Low-volatility cycles : the influence of valuation and momentum on low-volatility portfolios

Garcia-Feijóo, Luis; Kochard, Lawrence; Sullivan, Rodney N. - In: Financial analysts' journal : FAJ 71 (2015) 3, pp. 47-60

Persistent link: https://www.econbiz.de/10011283147

Identification and Bayesian estimation of dynamic factor models

Bai, Jushan; Wang, Peng - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 221-240

Persistent link: https://www.econbiz.de/10011390018

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