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The statistics of time varying cross-sectional information coefficients

Ding, Zhuanxin; Sun, Yixiao - In: The journal of asset management : a major new, … 24 (2023) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10013556592

Time series analysis of speculative returns

Ding, Zhuanxin - 1994 - [Mikrofiche-Ausg.]

Persistent link: https://www.econbiz.de/10004367177

Modeling volatility persistence of speculative returns: A new approach

Ding, Zhuanxin; Granger, Clive W.J. - In: Journal of econometrics 73 (1996) 1, pp. 185-216

Persistent link: https://www.econbiz.de/10006793819

Varieties of long memory models

Granger, Clive W.J.; Ding, Zhuanxin - In: Journal of econometrics 73 (1996) 1, pp. 61-78

Persistent link: https://www.econbiz.de/10006793823

THE PROFESSION - The Perils of Success

Christopherson, Jon; Ding, Zhuanxin; Greenwood, Paul - In: The journal of portfolio management : a publication of … 28 (2002) 2, pp. 41-54

Persistent link: https://www.econbiz.de/10006561343

PORTFOLIO MANAGEMENT - Cross-Sectional Volatility and Return Dispersion - The recent huge increase in active manager dispersion corresponds to the rise in cross-sectional volatility.

Ankrim, Ernest M.; Ding, Zhuanxin - In: Financial analysts' journal : FAJ 58 (2002) 5, pp. 67-73

Persistent link: https://www.econbiz.de/10006262182

Some Properties of Absolute Return: An Alternative Measure of Risk

GRANGER, C. W. J.; DING, Zhuanxin - In: Annales d'Economie et de Statistique (1995) 40, pp. 67-91

The expected absolute return belongs to a class of risk measure derived by Luce (1980) from axioms. The paper considers the time series properties of and also the marginal distribution properties, for various properties of ?. Using a long daily stock index series it is found that the...

Persistent link: https://www.econbiz.de/10005065822

Varieties of long memory models

Granger, Clive W. J.; Ding, Zhuanxin - In: Journal of Econometrics 73 (1996) 1, pp. 61-77

Persistent link: https://www.econbiz.de/10005192516

Modeling volatility persistence of speculative returns: A new approach

Ding, Zhuanxin; Granger, Clive W. J. - In: Journal of Econometrics 73 (1996) 1, pp. 185-215

Persistent link: https://www.econbiz.de/10005192630

A long memory property of stock market returns and a new model

Ding, Zhuanxin; Granger, Clive W. J.; Engle, Robert F. - In: Journal of Empirical Finance 1 (1993) 1, pp. 83-106

Persistent link: https://www.econbiz.de/10005194288