Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions [PDF]
This paper investigates whether the risk-return relation varies, depending on changing market volatility and up/down market conditions. Three market regimes based on the level of conditional volatility of market returns are specified - 'low', 'neutral ...
Don U.A. Galagedera, Robert Faff
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On the Shortfall of Tail-Based Entropy and Its Application to Capital Allocation. [PDF]
Entropy (Basel)Li P, Yin C.
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The Information Conveyed in a SPAC's Offering. [PDF]
Entropy (Basel), 2021 Cohen G, Cohen G, Qadan M.
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Tests of Conditional Asset Pricing Models in the Brazilian Stock Market [PDF]
In this paper, we test a verison of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the period 1976-1992. We also test a conditional APT model by using the difference between the 30-day rate (Cdb)
Marco Bonomo, René Garcia
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Cross-section without factors: a string model for expected returns. [PDF]
Quant FinanceDistaso W, Mele A, Vilkov G.
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An empirical investigation of investor sentiment and volatility of realty sector market in India: an application of the DCC-GARCH model. [PDF]
SN Bus Econ, 2023 Pillada N, Rangasamy S.
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Can systematic skewness factors predict future interest rates: Evidence from China. [PDF]
PLoS OneLiang X, Sun Y.
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Smart betas, return models and the tangency portfolio weights. [PDF]
PLoS OneLennartsson J, Ekman C.
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Factor-based deep reinforcement learning for asset allocation: Comparative analysis of static and dynamic beta reward designs. [PDF]
PLoS OneJung NH, Oh T.
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Dynamic interdependence between consumer confidence and housing prices: Evidence from bootstrap rolling window causality tests. [PDF]
PLoS OneGuan Y, Su C, Wang Y.
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