Works matching DE "MATHEMATICAL models of rate of return"

Results: 56

Stylised facts of financial time series and hidden Markov models in continuous time.

Published in:

Quantitative Finance, 2015, v. 15, n. 9, p. 1531, doi. 10.1080/14697688.2015.1004801

By:

Nystrup, Peter;
Madsen, Henrik;
Lindström, Erik

Publication type:

Article

A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback.

Published in:

Quantitative Finance, 2015, v. 15, n. 6, p. 975, doi. 10.1080/14697688.2011.642810

By:

Shaw, William T.;
Schofield, Marcus

Publication type:

Article

Contraste empírico del CAPM en el mercado accionario chileno.

Published in:

INGENIARE - Revista Chilena de Ingeniería, 2012, v. 20, n. 2, p. 255

By:

Contreras, Carlos A. Díaz;
Cartes, Freddy H. Higuera

Publication type:

Article

DRAWDOWN MEASURES AND RETURN MOMENTS.

Published in:

International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 7, p. N.PAG, doi. 10.1142/S0219024918500425

By:

MÖLLER, PHILIPP M.

Publication type:

Article

SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION.

Published in:

International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 6, p. -1, doi. 10.1142/S0219024917500418

By:

BELOMESTNY, DENIS;
HÄRDLE, WOLFGANG KARL;
KRYMOVA, EKATERINA

Publication type:

Article

Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range.

Published in:

Journal of Financial Econometrics, 2015, v. 14, n. 1, p. 128, doi. 10.1093/jjfinec/nbu022

By:

GERLACH, RICHARD;
CHEN, CATHY W. S.

Publication type:

Article

Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014.

Published in:

Journal of Financial Econometrics, 2015, v. 14, n. 1, p. 81, doi. 10.1093/jjfinec/nbv021

By:

DIEBOLD, FRANCIS X.;
YILMAZ, KAMIL

Publication type:

Article

Volatility Jumps and Their Economic Determinants.

Published in:

Journal of Financial Econometrics, 2015, v. 14, n. 1, p. 29, doi. 10.1093/jjfinec/nbu028

By:

CAPORIN, MASSIMILIANO;
ROSSI, EDUARDO;
DE MAGISTRIS, PAOLO SANTUCCI

Publication type:

Article

Recovering Hidden Buyer-Seller Relationship States to Measure the Return on Marketing Investment in Business-to- Business Markets.

Published in:

Journal of Marketing Research (JMR), 2013, v. 50, n. 1, p. 143, doi. 10.1509/jmr.11.0295

By:

LUO, ANITA;
KUMAR, V.

Publication type:

Article

The natural yield curve: its concept and measurement.

Published in:

Empirical Economics, 2018, v. 55, n. 2, p. 551, doi. 10.1007/s00181-017-1289-3

By:

Imakubo, Kei;
Kojima, Haruki;
Nakajima, Jouchi

Publication type:

Article

Trend-Oriented Training for Neural Networks to Forecast Stock Markets.

Published in:

Asia Pacific Management Review, 2013, v. 18, n. 2, p. 181, doi. 10.6126/APMR.2013.18.2.04

By:

Chun-Teh Lee;
Jia-Shiang Tzeng

Publication type:

Article

The Capital Asset Pricing Model ( CAPM): The History of a Failed Revolutionary Idea in Finance?

Published in:

Abacus, 2013, v. 49, p. 7, doi. 10.1111/j.1467-6281.2012.00379.x

By:

Dempsey, Mike

Publication type:

Article

The Capital Asset Pricing Model: A Revolutionary Idea in Finance!

Published in:

Abacus, 2013, v. 49, p. 32, doi. 10.1111/j.1467-6281.2012.00381.x

By:

Berkman, Henk

Publication type:

Article

Forward-Looking Market Risk Premium.

Published in:

Management Science, 2014, v. 60, n. 2, p. 521, doi. 10.1287/mnsc.2013.1758

By:

Jin-Chuan Duan;
Weiqi Zhang

Publication type:

Article

Intertemporal CAPM with Conditioning Variables.

Published in:

Management Science, 2013, v. 59, n. 1, p. 122, doi. 10.1287/mnsc.1120.1557

By:

Maio, Paulo

Publication type:

Article

Bad Bond Math: An Object Lesson Using Bloomberg's After-Tax Yields on Market Discount Bonds.

Published in:

Journal of Wealth Management, 2013, v. 15, n. 4, p. 61, doi. 10.3905/jwm.2013.15.4.061

By:

SMITH, DONALD J.

Publication type:

Article

Right and left kurtosis measures: large sample estimation and an application to financial returns.

Published in:

Stat, 2014, v. 3, n. 1, p. 95, doi. 10.1002/sta4.48

By:

Fiori, Anna Maria;
Beltrami, Davide

Publication type:

Article

Omega-optimized Portfolios: Applying Stochastic Dominance Criterion for the Selection of the Threshold Return.

Published in:

Trends: Economics & Management / Trendy: Ekonomiky a Managementu, 2016, v. 10, n. 25, p. 56, doi. 10.13164/trends.2016.25.56

By:

Vilkancas, Renaldas

Publication type:

Article

DIFFERENTIATED ASSETS: AN EXPERIMENTAL STUDY ON BUBBLES.

Published in:

Economic Inquiry, 2013, v. 51, n. 3, p. 1731, doi. 10.1111/j.1465-7295.2012.00494.x

By:

CHAN, KENNETH S.;
LEI, VIVIAN;
VESELY, FILIP

Publication type:

Article

Mathematical Analysis of Average Rates of Return and Investment Decisions: The Missing Link.

Published in:

Engineering Economist, 2014, v. 59, n. 3, p. 175, doi. 10.1080/0013791X.2014.881174

By:

Magni, Carlo Alberto

Publication type:

Article

Building Efficient Income Portfolios.

Published in:

Journal of Portfolio Management, 2015, v. 41, n. 3, p. 117, doi. 10.3905/jpm.2015.41.3.117

By:

BLANCHETT, DAVID;
RATNER, HAL

Publication type:

Article

Will My Risk Parity Strategy Outperform?

Published in:

Financial Analysts Journal, 2012, v. 68, n. 6, p. 75, doi. 10.2469/faj.v68.n6.7

By:

Anderson, Robert M.;
Bianchi, Stephen W.;
Goldberg, Lisa R.

Publication type:

Article

Static Mean-Variance Portfolio Optimization under General Sources of Uncertainty.

Published in:

Pakistan Journal of Statistics & Operation Research, 2018, v. 14, n. 2, p. 387, doi. 10.18187/pjsor.v14i2.1963

By:

Keykhaei, Reza;
Panahbehagh, Bardia

Publication type:

Article

Is gold a weak or strong hedge and safe haven against stocks? Robust evidences from three major gold-consuming countries.

Published in:

Applied Economics, 2017, v. 49, n. 53, p. 5491, doi. 10.1080/00036846.2017.1310998

By:

Dar, Arif Billah;
Maitra, Debasish

Publication type:

Article

An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets.

Published in:

Review of Financial Studies, 2017, v. 30, n. 4, p. 1229, doi. 10.1093/rfs/hhx005

By:

Bongaerts, Dion;
de Jong, Frank;
Driessen, Joost

Publication type:

Article

Mispricing Factors.

Published in:

Review of Financial Studies, 2017, v. 30, n. 4, p. 1270, doi. 10.1093/rfs/hhw107

By:

Stambaugh, Robert F.;
Yu Yuan

Publication type:

Article

Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach.

Published in:

Review of Financial Studies, 2017, v. 30, n. 4, p. 1339, doi. 10.1093/rfs/hhw102

By:

Light, Nathaniel;
Maslov, Denys;
Rytchkov, Oleg

Publication type:

Article

Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors.

Published in:

Review of Financial Studies, 2014, v. 27, n. 7, p. 2139, doi. 10.1093/rfs/hht135

By:

Gospodinov, Nikolay;
Kan, Raymond;
Robotti, Cesare

Publication type:

Article

When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns.

Published in:

Review of Financial Studies, 2014, v. 27, n. 2, p. 581, doi. 10.1093/rfs/hht070

By:

Buraschi, Andrea;
Kosowski, Robert;
Trojani, Fabio

Publication type:

Article

Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks.

Published in:

Review of Financial Studies, 2013, v. 26, n. 11, p. 2718, doi. 10.1093/rfs/hht026

By:

Kogan, Leonid;
Papanikolaou, Dimitris

Publication type:

Article

What Drives Stock Price Movements?

Published in:

Review of Financial Studies, 2013, v. 26, n. 4, p. 841, doi. 10.1093/rfs/hht005

By:

Chen, Long;
Da, Zhi;
Zhao, Xinlei

Publication type:

Article

Understanding the Puzzling Risk-Return Relationship for Housing.

Published in:

Review of Financial Studies, 2013, v. 26, n. 4, p. 877, doi. 10.1093/rfs/hhs181

By:

Han, Lu

Publication type:

Article

POST-MERGER RETURNS IN FRONTIER MARKETS, OR HOW WE LEARNED TO STOP WORRYING AND LOVE THE ACQUIRERS.

Published in:

Journal of Business Economics & Management, 2018, v. 19, n. 1, p. 96, doi. 10.3846/16111699.2017.1399162

By:

Zaremba, Adam;
Szyszka, Adam;
Płotnicki, Michał;
Grobelny, Przemysław

Publication type:

Article

Extended omega ratio optimization for risk-averse investors.

Published in:

International Transactions in Operational Research, 2017, v. 24, n. 3, p. 485, doi. 10.1111/itor.12184

By:

Sharma, Amita;
Mehra, Aparna

Publication type:

Article

Valuation and Returns on Stock Return Volatility.

Published in:

Accounting Review, 2025, v. 100, n. 2, p. 299, doi. 10.2308/TAR-2020-0151

By:

Lyle, Matthew R.

Publication type:

Article

The Role of Accounting Conservatism in the Equity Market: Evidence from Seasoned Equity Offerings.

Published in:

Accounting Review, 2013, v. 88, n. 4, p. 1327, doi. 10.2308/accr-50420

By:

Yongtae Kim;
Siqi Li;
Pan, Carrie;
Luo Zuo

Publication type:

Article

Country Risk Ratings and Stock Market Returns in Brazil, Russia, India, and China (BRICS) Countries: A Nonlinear Dynamic Approach.

Published in:

Risks, 2018, v. 6, n. 3, p. 94, doi. 10.3390/risks6030094

By:

Ben Nasr, Adnen;
Cunado, Juncal;
Demirer, Rıza;
Gupta, Rangan

Publication type:

Article

Coskewness Risk Decomposition, Covariation Risk, and Intertemporal Asset Pricing.

Published in:

Journal of Financial & Quantitative Analysis, 2019, v. 54, n. 1, p. 335, doi. 10.1017/S0022109018000637

By:

Kalev, Petko S.;
Saxena, Konark;
Zolotoy, Leon

Publication type:

Article

Dynamic Portfolio Choice with Linear Rebalancing Rules.

Published in:

Journal of Financial & Quantitative Analysis, 2017, v. 52, p. 1247, doi. 10.1017/S0022109017000345

By:

Moallemi, Ciamac C.;
Sağlam, Mehmet

Publication type:

Article

The Timing and Source of Long-Run Returns Following Repurchases.

Published in:

Journal of Financial & Quantitative Analysis, 2017, v. 52, n. 2, p. 491, doi. 10.1017/S0022109017000084

By:

Bargeron, Leonce;
Bonaime, Alice;
Thomas, Shawn

Publication type:

Article

Hedge Fund Return Predictability Under the Magnifying Glass.

Published in:

Journal of Financial & Quantitative Analysis, 2013, v. 48, n. 4, p. 1057, doi. 10.1017/S0022109013000422

By:

Avramov, Doron;
Barras, Laurent;
Kosowski, Robert

Publication type:

Article

The Optimal Use of Return Predictability: An Empirical Study.

Published in:

Journal of Financial & Quantitative Analysis, 2012, v. 47, n. 5, p. 973, doi. 10.1017/S0022109012000415

By:

Abhyankar, Abhay;
Basu, Devraj;
Stremme, Alexander

Publication type:

Article

Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open.

Published in:

Journal of Financial & Quantitative Analysis, 2012, v. 47, n. 4, p. 715, doi. 10.1017/S0022109012000270

By:

Berkman, Henk;
Koch, Paul D.;
Tuttle, Laura;
Zhang, Ying Jenny

Publication type:

Article

Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion.

Published in:

Journal of Financial & Quantitative Analysis, 2012, v. 47, n. 4, p. 873, doi. 10.1017/S002210901200018X

By:

Chen, Changling;
Huang, Alan Guoming;
Jha, Ranjini

Publication type:

Article

Risk-Return Tradeoff in U.S. Stock Returns over the Business Cycle.

Published in:

Journal of Financial & Quantitative Analysis, 2012, v. 47, n. 1, p. 137, doi. 10.1017/S0022109011000615

By:

Nyberg, Henri

Publication type:

Article

An Extended Macro-Finance Model with Financial Factors.

Published in:

Journal of Financial & Quantitative Analysis, 2011, v. 46, n. 6, p. 1893, doi. 10.1017/S0022109011000469

By:

Dewachter, Hans;
Iania, Leonardo

Publication type:

Article

A PUZZLE OF EXCESSIVE EQUITY RISK PREMIUM AND THE CASE OF POLAND.

Published in:

eFinanse, 2016, v. 12, n. 1, p. 1, doi. 10.1515/fiqf-2016-0131

By:

KLIBER, PAWEŁ

Publication type:

Article

SOFTWERSKA PODRŠKA DU PONTOVOM MODELU PRIMJENE RAČUNOVODSTVENE POLITIKE PRIZNAVANJA PRIHODA, TE NJIHOV UTICAJ NA FINANSIJSKI POLOŽAJ PREDUZEČA.

Published in:

Business Consultant / Poslovni Konsultant, 2013, v. 5, n. 28, p. 49

By:

Kurtanović, Senada;
Sead, Mušinbegović

Publication type:

Article

EQUIPTMOD as a basis for rational investment decisions in tobacco control.

Published in:

Addiction, 2018, v. 113, p. 3, doi. 10.1111/add.14175

By:

Pokhrel, Subhash;
West, Robert

Publication type:

Article

Estimates of costs for modelling return on investment from smoking cessation interventions.

Published in:

Addiction, 2018, v. 113, p. 32, doi. 10.1111/add.14091

By:

Trapero‐Bertran, Marta;
Leidl, Reiner;
Muñoz, Celia;
Kulchaitanaroaj, Puttarin;
Coyle, Kathryn;
Präger, Maximilian;
Józwiak‐Hagymásy, Judit;
Cheung, Kei Long;
Hiligsmann, Mickael;
Pokhrel, Subhash;
on behalf of the EQUIPT Study Group

Publication type:

Article