Faculty of Applied Economics
University of Antwerp Department of Accounting & Finance
Antwerp Management School
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Portfolio insurance, Performance evaluation, Stochastic dominance, Block-bootstrap simulation
Smoothed Bootstrap, Ridge Regression, Nelson-Siegel, Spot Rates
book-to-market, size, value strategy
Term Structure, Nelson-Siegel Model, Svensson Model, Ridge Regression
credit default spreads, credit risk, financial crisis, financial sector, liquidity premia, structural model
Universal Banking, Company Performance, Company Risk, Director Interlocks
Company Performance, Company Risk, Universal Banks, Director Interlocks
CreditRisk+, saddlepoint approximations, Lugannani-Rice formula, Barndorff-Nielsen formula, credit VaR.
Financial market history, market efficiency, univariate stock return predictability
long run stock returns, equity premium, size effect, 19th and 20th centuries, Brussels stock exchange
business cycles, stock market volatility, interest rate volatility, probit model
Business cycle forecasting, stock market volatility, interest rate volatility, probit
extreme returns, cross-section of expected returns, lottery-like payoffs, skewness, idiosyncratic volatility puzzle
credit spreads, diversification, correlations, corporate bonds
Sum stable distributions, Hill-estimator, moments
Mutual Funds, Transactions, Description
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: JBFA439.
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Historical Beta Estimation, Brussels Stock Exchange
C22, C52, G11, G20
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