全部文献期刊学位论文会议报纸专利标准年鉴图书|学者科研项目
中外文文献  中文文献  外文文献
作者:Richard D.F. Harris , Evarist Stoja , Linzhi Tan
来源:[J].European Journal of Operational Research(IF 2.038), 2016Elsevier
摘要:Abstract(#br)We generalize the Black–Litterman (BL) portfolio management framework to incorporate time-variation in the conditional distribution of returns in the asset allocation process. We evaluate the performance of the dynamic BL model using both standard performance ra...
作者:Richard D.F. Harris , C.Coskun Küçüközmen
来源:[J].European Journal of Operational Research(IF 2.038), 2001, Vol.134 (3), pp.481-492Elsevier
摘要:Abstract(#br)This paper investigates the dynamic behaviour of daily aggregate returns of one of Europe's largest and fastest growing emerging equity markets, the Istanbul Stock Exchange (ISE). It is found that ISE returns exhibit significant linear and nonlinear dependence. We in...
作者:Richard D.F. Harris , Fatih Yilmaz
来源:[J].European Journal of Operational Research(IF 2.038), 2007, Vol.188 (3), pp.846-853Elsevier
摘要:Abstract(#br)Most macroeconomic time series are reported on a quarterly basis. However, in many cases, official statistical agencies report annual (or ‘year-on-year’) growth rates rather than the quarterly data themselves. In this paper, we demonstrate how to recover seasona...
作者:Richard D.F. Harris , Elias Tzavalis
来源:[J].Journal of Econometrics(IF 1.71), 1999, Vol.91 (2), pp.201-226Elsevier
摘要:Abstract(#br)This paper derives similar, asymptotic unit root tests for first-order autoregressive panel data models, assuming that the time dimension of the panel is fixed. It is shown that the limiting distributions of the test statistics are normal. The assumption that the tim...
作者:Stefan De Wachter , Richard D.F. Harris , Elias Tzavalis
来源:[J].Journal of Statistical Planning and Inference(IF 0.713), 2005, Vol.137 (1), pp.230-244Elsevier
摘要:Abstract(#br)We investigate the influence of residual serial correlation and of the time dimension on statistical inference for a unit root in dynamic longitudinal data, known as panel data in econometrics. To this end, we introduce two test statistics based on method of moments ...
作者:Constantinos Antoniou , Richard D.F. Harris , Ruogu Zhang
来源:[J].Journal of Banking and Finance, 2015, Vol.58, pp.57-70Elsevier
摘要:Abstract(#br)Theoretical models of portfolio choice that incorporate ambiguity predict that investors’ propensity to invest in equities is reduced when ambiguity in the stock market increases. Although this hypothesis stems from the extant theoretical literature, there is no...
作者:George Bulkley , Richard D.F. Harris , Vivekanand Nawosah
来源:[J].Journal of Banking and Finance, 2015, Vol.58, pp.179-193Elsevier
摘要:Abstract(#br)We test whether the rejections of the expectations hypothesis can be explained by two behavioral biases: the law of small numbers and conservatism. We use the term structure to decompose excess bond returns into components related to expectation errors and expectatio...

我们正在为您处理中,这可能需要一些时间,请稍等。

资源合作:cnki.scholar@cnki.net, +86-10-82896619   意见反馈:scholar@cnki.net

×