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Volume 15, Issue 6

Quantitative Finance

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Quantitative Finance, Volume 15, Issue 6 (2015)

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Quantitative Finance, Volume 15, Issue 6 (2015)

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Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Vol 20, 2020 Vol 19, 2019 Vol 18, 2018 Vol 17, 2017 Vol 16, 2016 Volume 15, 2015 Vol 14, 2014 Vol 13, 2013 Vol 12, 2012 Vol 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Vol 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001

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Themed Issue on Equities

Features

Structural breaks and portfolio performance in global equity markets

Harry J. Turtle & Chengping Zhang

Pages: 909-922

Published online: 05 May 2015

First Page PreviewforStructural breaks and portfolio performance in global equity markets | Full Text | References | PDF (875.6 KB)

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Book review

Book Review

Asset Management: A Systematic Approach to Factor Investing

Robert M. Anderson

Pages: 923-927

Published online: 01 Dec 2014

First Page PreviewforAsset Management: A Systematic Approach to Factor Investing | Full Text | References | PDF (234.6 KB)

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Free Access

Calendar

Page: 929

Published online: 05 May 2015

CitationforCalendar | Full Text | PDF (38.8 KB)

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Research Papers

Article

‘Slow-burn’ spillover and ‘fast and furious’ contagion: a study of international stock markets

Lei Wu, Qingbin Meng & Kuan Xu

Pages: 933-958

Published online: 25 Sep 2014

Abstractfor‘Slow-burn’ spillover and ‘fast and furious’ contagion: a study of international stock markets | Full Text | References | PDF (2 MB)

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Article

Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility

Jozef Barunik & Jiri Kukacka

Pages: 959-973

Published online: 25 Sep 2014

AbstractforRealizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility | Full Text | References | PDF (1 MB)

402 Views
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Article

A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback

William T. Shaw & Marcus Schofield

Pages: 975-998

Published online: 16 Jan 2012

AbstractforA model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback | Full Text | References | PDF (1.4 MB)

318 Views
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Article

Predicting abnormal returns from news using text classification

Ronny Luss & Alexandre D’Aspremont

Pages: 999-1012

Published online: 29 Mar 2012

AbstractforPredicting abnormal returns from news using text classification | Full Text | References | PDF (689.7 KB)

1685 Views
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Article

Two-step methods in VaR prediction and the importance of fat tails

Ibrahim Ergen

Pages: 1013-1030

Published online: 15 Aug 2014

AbstractforTwo-step methods in VaR prediction and the importance of fat tails | Full Text | References | PDF (281.4 KB)

437 Views
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Article

Limited information-processing capacity and asymmetric stock correlations

Ozcan Ceylan

Pages: 1031-1039

Published online: 21 Nov 2013

AbstractforLimited information-processing capacity and asymmetric stock correlations | Full Text | References | PDF (141.6 KB)

236 Views
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Article

Jump robust two time scale covariance estimation and realized volatility budgets

Kris Boudt & Jin Zhang

Pages: 1041-1054

Published online: 18 Feb 2013

AbstractforJump robust two time scale covariance estimation and realized volatility budgets | Full Text | References | PDF (693.6 KB)

556 Views
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Article

Using information quality for volatility model combinations

Vasyl Golosnoy & Yarema Okhrin

Pages: 1055-1073

Published online: 20 Feb 2013

AbstractforUsing information quality for volatility model combinations | Full Text | References | PDF (428.7 KB)

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Article

On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking

Eduardo Acosta-González, Reinaldo Armas-Herrera & Fernando Fernández-Rodríguez

Pages: 1075-1091

Published online: 15 Aug 2014

AbstractforOn the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking | Full Text | References | PDF (328.7 KB)

607 Views
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Corrigendum

Correction

Corrigendum

Page: ei

Published online: 23 Jun 2014

CitationforCorrigendum | Full Text | PDF (60.9 KB)

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Quantitative Finance (Vol.15, Iss.6, 2015)

Themed Issue on Equities

Themed Issue on Equities

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