Dynamic Asset Allocation: A Bayesian Approach
作者： Yalan Feng
DOI:
关键词:
摘要:
参考文章(57)
Henk Berkman, Paul D. Koch, Laura Tuttle, Ying Jenny Zhang, Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open Journal of Financial and Quantitative Analysis. ,vol. 47, pp. 715- 741 ,(2012) , 10.1017/S0022109012000270
Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam, Evidence on the speed of convergence to market efficiency Journal of Financial Economics. ,vol. 76, pp. 271- 292 ,(2005) , 10.1016/J.JFINECO.2004.06.004
Ben Branch, Aixin Ma, Overnight Return, the Invisible Hand Behind Intraday Returns? Journal of Applied Finance. ,vol. 22, pp. 90- 100 ,(2012)
Kevin K Sheppard, Robert F Engle, Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH Research Papers in Economics. ,(2001)
Michael S. Pagano, Lin Peng, Robert A. Schwartz, A call auction's impact on price formation and order routing: Evidence from the NASDAQ stock market Journal of Financial Markets. ,vol. 16, pp. 331- 361 ,(2013) , 10.1016/J.FINMAR.2012.11.001
Patrick Burns, Multivariate GARCH with Only Univariate Estimation ,(2005)
Kenneth R. French, Richard Roll, Stock return variances: The arrival of information and the reaction of traders Journal of Financial Economics. ,vol. 17, pp. 5- 26 ,(1986) , 10.1016/0304-405X(86)90004-8
Michael Rothschild, Michael Rothschild, Robert F. Engle, Robert F. Engle, Victor Ng, Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills Social Science Research Network. ,(1988)
Andrew J. Patton, Kevin Sheppard, Evaluating Volatility and Correlation Forecasts Research Papers in Economics. pp. 801- 838 ,(2009) , 10.1007/978-3-540-71297-8_36
Attilio Meucci, Risk and asset allocation ,(2005)