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Volume 15; Issue 6
Main
Quantitative Finance
Volume 15; Issue 6
Quantitative Finance
Volume 15; Issue 6
1
Predicting abnormal returns from news using text classification
Luss, Ronny
,
D’Aspremont, Alexandre
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 626 KB
Your tags:
english, 2015
2
Jump robust two time scale covariance estimation and realized volatility budgets
Boudt, Kris
,
Zhang, Jin
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 726 KB
Your tags:
english, 2015
3
Two-step methods in VaR prediction and the importance of fat tails
Ergen, Ibrahim
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 326 KB
Your tags:
english, 2015
4
‘Slow-burn’ spillover and ‘fast and furious’ contagion: a study of international stock markets
Wu, Lei
,
Meng, Qingbin
,
Xu, Kuan
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 2.12 MB
Your tags:
english, 2015
5
Using information quality for volatility model combinations
Golosnoy, Vasyl
,
Okhrin, Yarema
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 434 KB
Your tags:
english, 2015
6
A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
Shaw, William T.
,
Schofield, Marcus
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 1.35 MB
Your tags:
english, 2015
7
Structural breaks and portfolio performance in global equity markets
Turtle, Harry J.
,
Zhang, Chengping
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 878 KB
Your tags:
english, 2015
8
Asset Management: A Systematic Approach to Factor Investing
Anderson, Robert M.
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 419 KB
Your tags:
english, 2015
9
On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
Acosta-González, Eduardo
,
Armas-Herrera, Reinaldo
,
Fernández-Rodríguez, Fernando
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 515 KB
Your tags:
english, 2015
10
Limited information-processing capacity and asymmetric stock correlations
Ceylan, Ozcan
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 326 KB
Your tags:
english, 2015
11
Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
Barunik, Jozef
,
Kukacka, Jiri
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 1.20 MB
Your tags:
english, 2015
12
Calendar
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 223 KB
Your tags:
english, 2015
13
Corrigendum
Journal:
Quantitative Finance
Year:
2015
Language:
english
File:
PDF, 245 KB
Your tags:
english, 2015
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