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Cryptocurrency systematic risk dynamics
|
Economics Letters |
2024 |
A |
|
Portfolio management for insurers and pension funds and COVID-19: targeting volatility for equity, balanced, and target-date funds with leverage constraints
|
Annals of Actuarial Science |
2024 |
A |
|
Beta measurement with high frequency returns
|
Finance Research Letters |
2022 |
A |
|
Shifts in beta and the TARP announcement
|
Finance Research Letters |
2022 |
A |
|
An analysis on the predictability of CAPM beta for momentum returns
|
Journal of Forecasting |
2019 |
A |
|
Targeting market neutrality
|
Quantitative Finance |
2019 |
A |
|
CAPM, components of beta and the cross section of expected returns
|
Journal of Empirical Finance |
2018 |
A |
|
Portfolio management with targeted constant market volatility
|
Insurance: Mathematics & Economics |
2018 |
A* |
|
Beta forecasting at long horizons
|
International Journal of Forecasting |
2017 |
A |
|
Monthly Beta Forecasting with Low-, Medium- and High-Frequency Stock Returns
|
Journal of Forecasting |
2016 |
A |
|
Betas and the Myth of Market Neutrality
|
International Journal of Forecasting |
2016 |
A |
|
Constant versus Time-Varying Beta Models: Further Forecast Evaluation
|
Journal of Forecasting |
2013 |
A |
|
Forecasting Volatility in the Presence of Model Instability
|
Australian and New Zealand Journal of Statistics |
2010 |
A |
|
Estimation and Inference in ARCH Models in the Presence of Outliers
|
Journal of Financial Econometrics |
2010 |
A* |
|
Quarterly Beta Forecasting: An Evaluation
|
International Journal of Forecasting |
2008 |
A |
|
Bootstrap Prediction Intervals for ARCH Models
|
International Journal of Forecasting |
2005 |
A |