✦ LIBER ✦

Asset Return Dynamics and Learning

✍ Scribed by Branch, W. A.; Evans, G. W.

Book ID: 115317335
Publisher: Oxford University Press
Year: 2010
Tongue: English
Weight: 231 KB
Volume: 23
Category: Article
ISSN: 0893-9454
DOI: 10.1093/rfs/hhp112

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Learning and mean reversion in asset ret

Learning and mean reversion in asset returns

✍ Mark A Cassano 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 571 KB

Segmented markets, differential informat

Segmented markets, differential information, and asset return dynamics

✍ S.G. Badrinath; Jayant R. Kale; Thomas H. Noe 📂 Article 📅 1993 🏛 Elsevier Science 🌐 English ⚖ 362 KB

International Dynamic Asset Allocation a

International Dynamic Asset Allocation and Return Predictability

✍ Devraj Basu; Roel Oomen; Alexander Stremme 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 537 KB

Dynamic density forecasts for multivaria

Dynamic density forecasts for multivariate asset returns

✍ Arnold Polanski; Evarist Stoja 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 414 KB

We propose a simple and fl exible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time-varying) non-central co-moments of assets. We estimate the coefficients of the polynomial via the method of moments for a carefully sel

Dynamic Correlations Among Asset Classes

Dynamic Correlations Among Asset Classes: REIT and Stock Returns

✍ Bradford Case; Yawei Yang; Yildiray Yildirim 📂 Article 📅 2010 🏛 Springer US 🌐 English ⚖ 292 KB

Disclosures and Asset Returns

✍ Hyun Song Shin 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 205 KB