| Nome |
# |
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Volatility as an alternative asset class: does it improve portfolio performance?, file e31e10d3-7dff-31fb-e053-1705fe0a5b99
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120
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Sharpening the accuracy of credit scoring models with machine learning algorithms, file e31e10d4-8f24-31fb-e053-1705fe0a5b99
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99
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Comparing in- and out-of-sample approaches to variance decomposition-based estimates of network connectedness an application to the Italian banking system, file e31e10d3-7e01-31fb-e053-1705fe0a5b99
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85
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The dynamics of returns predictability in cryptocurrency markets, file 47ffcc8a-042e-487d-a158-44b8863c8832
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16
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Switching coefficients or automatic variable selection: an application in forecasting commodity returns, file 829a647a-4dff-49bf-bf8b-49227c825d95
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13
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Ambiguity in asset pricing and portfolio choice: a review of the literature, file e31e10d2-2994-31fb-e053-1705fe0a5b99
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13
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Equally weighted vs. long-run optimal portfolios, file e31e10d2-5412-31fb-e053-1705fe0a5b99
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6
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Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective, file e31e10d2-2001-31fb-e053-1705fe0a5b99
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5
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Transmission channels of financial shocks to stock, bond, and asset-backed markets: An empirical model, file e31e10d2-517b-31fb-e053-1705fe0a5b99
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4
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Learning to smile: can rational learning explain predictable dynamics in the implied volatility surface?, file e31e10d2-5680-31fb-e053-1705fe0a5b99
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4
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Essentials of applied portfolio management, file e31e10d2-9fbe-31fb-e053-1705fe0a5b99
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4
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Macroeconomic factors strike back: a bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section, file e31e10d3-0011-31fb-e053-1705fe0a5b99
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4
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Diamonds Are Forever, Wars Are Not. Is Conflict Bad for Private Firms?, file e31e10d2-17df-31fb-e053-1705fe0a5b99
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3
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Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment, file e31e10d2-1fa5-31fb-e053-1705fe0a5b99
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3
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Alternative econometric implementations of multi-factor models of the U.S. financial markets, file e31e10d2-33e9-31fb-e053-1705fe0a5b99
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3
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A yield spread perspective on the great financial crisis: Break-point test evidence, file e31e10d2-345e-31fb-e053-1705fe0a5b99
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3
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Ambiguity aversion and underdiversification, file e31e10d2-9f63-31fb-e053-1705fe0a5b99
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3
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How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns, file e31e10d2-f0ca-31fb-e053-1705fe0a5b99
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3
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Asset-backed securities, file e31e10d3-c833-31fb-e053-1705fe0a5b99
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3
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Big data e sentiment analysis : il futuro dell'asset management, file e31e10d4-8f25-31fb-e053-1705fe0a5b99
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3
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The economic effects of violent conflict: evidence from asset market reactions, file e31e10d2-1b8a-31fb-e053-1705fe0a5b99
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2
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Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests, file e31e10d2-274d-31fb-e053-1705fe0a5b99
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2
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Forecasting Yield Spreads under Crisis-Induced Multiple Breakpoints, file e31e10d2-336f-31fb-e053-1705fe0a5b99
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2
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Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data, file e31e10d2-5411-31fb-e053-1705fe0a5b99
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2
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The impact of monetary policy on corporate bonds under regime shifts, file e31e10d2-f0c4-31fb-e053-1705fe0a5b99
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2
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The robustness of the volatility factor: linear versus nonlinear factor model, file e31e10d2-f0c8-31fb-e053-1705fe0a5b99
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2
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Predictions of short-term rates and the expectations hypothesis, file e31e10d3-78c4-31fb-e053-1705fe0a5b99
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2
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Essentials of time series for financial applications, file e31e10d3-7acc-31fb-e053-1705fe0a5b99
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2
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Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing, file e31e10d3-7dfd-31fb-e053-1705fe0a5b99
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2
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Portfolio performance of linear SDF models: an out-of-sample assessment, file e31e10d3-7e03-31fb-e053-1705fe0a5b99
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2
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Performance persistence and optimal asset allocation strategies, file e31e10d4-8652-31fb-e053-1705fe0a5b99
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2
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Media attention vs. sentiment as drivers of conditional volatility predictions: an application to Brexit, file e31e10d4-876d-31fb-e053-1705fe0a5b99
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2
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Time-varying price discovery in sovereign credit markets, file e31e10d4-9042-31fb-e053-1705fe0a5b99
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2
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Regime shifts in mean-variance efficient frontiers: Some international evidence, file e31e10d2-1e00-31fb-e053-1705fe0a5b99
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1
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Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets, file e31e10d2-274c-31fb-e053-1705fe0a5b99
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1
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Can linear predictability models time bull and bear real estate markets? Out-of-sample evidence from REIT portfolios, file e31e10d2-2dd1-31fb-e053-1705fe0a5b99
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1
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Time varying stock return predictability: Evidence from US sectors, file e31e10d2-346d-31fb-e053-1705fe0a5b99
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1
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Pricing S&P 500 index options: a conditional semi-nonparametric approach, file e31e10d2-9f66-31fb-e053-1705fe0a5b99
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1
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Identifying and measuring the contagion channels at work in the European financial crises, file e31e10d2-f122-31fb-e053-1705fe0a5b99
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1
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Linear and nonlinear predictability in investment style factors: multivariate evidence, file e31e10d2-f124-31fb-e053-1705fe0a5b99
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1
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Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad?, file e31e10d3-71d8-31fb-e053-1705fe0a5b99
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1
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An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings, file e31e10d3-c829-31fb-e053-1705fe0a5b99
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1
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Modeling systemic risk with Markov Switching Graphical SUR models, file e31e10d3-c82d-31fb-e053-1705fe0a5b99
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1
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Cross-asset contagion in the financial crisis: a Bayesian time-varying parameter approach, file e31e10d3-c82f-31fb-e053-1705fe0a5b99
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1
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Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models, file e31e10d3-c831-31fb-e053-1705fe0a5b99
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1
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Monetary policy after the crisis: a threat to hedge funds' alphas?, file e31e10d4-2871-31fb-e053-1705fe0a5b99
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1
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The predictability of real estate excess returns: an out-of-sample economic value analysis, file e31e10d4-287c-31fb-e053-1705fe0a5b99
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1
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Forecasting commodity futures returns with stepwise regressions: do commodity-specific factors help?, file e31e10d4-2a3c-31fb-e053-1705fe0a5b99
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1
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Arbitrage risk and a sentiment as causes of persistent mispricing: the European evidence, file e31e10d4-2dc0-31fb-e053-1705fe0a5b99
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1
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Mildly explosive dynamics in U.S. fixed income markets, file e31e10d4-2e73-31fb-e053-1705fe0a5b99
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1
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Performance persistence and optimal asset allocation strategies, file e31e10d4-8653-31fb-e053-1705fe0a5b99
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1
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Forecasting: theory and practice, file ed15db2b-0999-4e07-a34f-333afedbe1b8
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1
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| Totale |
442 |