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Revisiting EWMA in high-frequency portfolio optimization : a comparative assessment

Capera Romero, Laura; Opschoor, Anne - 2025

This paper compares the statistical and economic performance of state-of-the-art highfrequency based multivariate volatility models with a simpler, widely used alternative-the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S. stock returns (2002-2023), we...

Persistent link: https://www.econbiz.de/10015419907

Beyond reward expectancy : how do periodic incentive payments influence the temporal dynamics of performance?

Frankort, Hans T. W.; Avgoustaki, Argyro - In: Journal of management 48 (2022) 7, pp. 2075-2107

Persistent link: https://www.econbiz.de/10013396176

Quantitative equity investing : techniques and strategies

Fabozzi, Frank J.; Focardi, Sergio M.; Kolm, Petter N. - 2010

Persistent link: https://www.econbiz.de/10003898661

Is transaction price more value relevant compared to accounting information? : an investigation of a time-series approach

Tswei, Keshin - In: Pacific-Basin finance journal 21 (2013) 1, pp. 1062-1078

Persistent link: https://www.econbiz.de/10009693397

Detecting speculative bubbles under considerations of the sign asymmetry and size non-linearity : new international evidence

Chen, Shyh-Wei; Xie, Zixiong - In: International review of economics & finance : IREF 52 (2017), pp. 188-209

Persistent link: https://www.econbiz.de/10011791338

Supplementary Material for 'Asset Pricing Restrictions on Predictability : Frictions Matter'

de Roon, Frans - 2011

Persistent link: https://www.econbiz.de/10013129967

Reducing transaction costs using intraday forecasts of limit order book slopes

Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - 2021

Persistent link: https://www.econbiz.de/10012615644

Reducing transaction costs using intraday forecasts of limit order book slopes

Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - In: Journal of forecasting 43 (2024) 8, pp. 2982-3008

Persistent link: https://www.econbiz.de/10015110592

Quantitative equity investing : techniques and strategies

Fabozzi, Frank J.; Focardi, Sergio M.; Kolm, Petter N. - 2010

portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz … FINANCE -- CAUSALITY -- SUMMARY -- Chapter 4: Common Pitfalls in Financial Modeling -- THEORY AND ENGINEERING -- ENGINEERING …

Persistent link: https://www.econbiz.de/10012683140

Leistungsanreize im öffentlichen Dienst : ein Rechtsvergleich zwischen der Schweiz und Deutschland unter Berüksichtigung ökonomischer Aspekte

Henneberger-Sudjana, Sarah - 2007 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003406479