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investment horizons
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publication
Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity
2012 |
Faculty of Social Sciences
publication
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices*
2023 |
Faculty of Social Sciences, Faculty of Mathematics and Physics
publication
Tail Risks, Asset Prices, and Investment Horizons
Publication without faculty affiliation
publication
Dynamical agents' strategies and the fractal market hypothesis
2005 |
Faculty of Social Sciences
publication
Heterogeneous agents model with the worst out algorithm
2007 |
Faculty of Social Sciences, Faculty of Mathematics and Physics
publication
Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence
2013 |
Faculty of Social Sciences, Faculty of Mathematics and Physics
publication
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
2015 |
Faculty of Social Sciences
publication
Gold, oil, and stocks: Dynamic correlations
2016 |
Faculty of Social Sciences
publication
Long term portfolio protection
2019 |
Faculty of Mathematics and Physics
publication
Gold, oil, and stocks
Publication without faculty affiliation
publication
Common Cycles in Volatility and Cross Section of Stock Returns
Publication without faculty affiliation
publication
Modeling and forecasting exchange rate volatility in time-frequency domain
2016 |
Faculty of Social Sciences
publication
Multistage risk-averse asset allocation with transaction costs
2012 |
Faculty of Mathematics and Physics
publication
Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression
2016 |
Faculty of Social Sciences
publication
Wavelet-Based Correlation Analysis of the Key Traded Assets
2014 |
Faculty of Social Sciences
publication
Contagion among Central and Eastern European Stock Markets during the Financial Crisis
2013 |
Faculty of Social Sciences
publication
General linear formulations of stochastic dominance criteria
2013 |
Faculty of Mathematics and Physics
publication
Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak
2022 |
Publication without faculty affiliation
publication
Multistage portfolio optimization with risk premium contraints
2015 |
Faculty of Mathematics and Physics