Now showing items 11-16 of 16
Systematic risk and the cross section of hedge fund returns
This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross-sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for ...
Ranking the predictive performances of value-at-risk estimation methods
We introduce a ranking model and a complementary predictive ability test statistic to investigate the forecasting performances of different Value at Risk (VaR) methods, without specifying a fixed benchmark method. The ...
Competitive implications of software open-sourcing
This paper is concerned with the economic trade-oﬀs associated with open-sourcing, the business strategy of releasing free open-source versions of commercial software products. The eﬀect of the release of open-source ...
Adaptive pairs trading strategy performance in Turkish derivatives exchange with the companies listed on Istanbul stock exchange
(Springer International Publishing, 2012-05)
We implemented model-driven statistical arbitrage strategies in Turkish equities market. Trading signals are generated by optimized parameters of distance method. When the trade in signal is triggered by the model, ...
An approximation of stochastic telegraph equations
(AIP Publishing, 2012)
In the present paper the two-step difference scheme for the telegraph equation is presented. The convergence estimate for the solution of the difference scheme is established. In applications, the convergence estimates for ...
A universal appointment rule in the presence of no-shows and walk-ins
This study introduces a universal “Dome” appointment rule that can be parameterized through a planning constant for different clinics characterized by the environmental factors—no-shows, walk-ins, number of appointments ...
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