نتایج جستجو برای: tail mean variance criterion

تعداد نتایج: 782384  

Journal: :Journal of the Operations Research Society of Japan 1995

Journal: :Stochastic Analysis and Applications 2009

Journal: :Computational Statistics & Data Analysis 2018

Journal: :Mathematical Methods of Operations Research 2005

Journal: :Journal of Econometrics 2021

We propose parametric tests for serial correlation in levels and squares that exploit the non-normality of financial returns. Our are robust to distributional misspecification. Furthermore, our mean predictability can be robustified against time-varying volatility. Local power analyses confirm their gains over existing methods, while Monte Carlo exercises assess finite sample reliability. apply...

Journal: :Journal of Statistical Mechanics: Theory and Experiment 2016

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