FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1556757310> ?p ?o ?g. }

• W1556757310 abstract "Predictions of asset returns and volatilities are heavily discussed and analyzed in the finance research literature. In this paper, we compare linear and nonlinear predictions for stock- and bond index returns and their covariance matrix. We show in-sample and out-of-sample prediction accuracy as well as their impact on asset allocation results for short-horizon investors. Our data comprises returns from the German DAX stock market index and the REXP bond market index as well as their joint covariance matrix over the period 01/1988 - 12/2007. The comparison of a linear and nonlinear prediction approach is the focus of this study. The results show that while out-of-sample prediction accuracies are weak in terms of statistical significance, asset allocation performances based on linear predictions result in significant Jensen's alpha measures and Sharpe-ratio and are further improved by nonlinear predictions." @default.
• W1556757310 created "2016-06-24" @default.
• W1556757310 creator A5018474791 @default.
• W1556757310 creator A5064362601 @default.
• W1556757310 date "2012-01-01" @default.
• W1556757310 modified "2023-10-14" @default.
• W1556757310 title "The Economic Value of Nonlinear Predictions in Asset Allocation" @default.
• W1556757310 cites W1554663460 @default.
• W1556757310 cites W1567992464 @default.
• W1556757310 cites W1885262929 @default.
• W1556757310 cites W1966268097 @default.
• W1556757310 cites W1975161917 @default.
• W1556757310 cites W1979575715 @default.
• W1556757310 cites W1981566710 @default.
• W1556757310 cites W1987857303 @default.
• W1556757310 cites W1991293146 @default.
• W1556757310 cites W1992893498 @default.
• W1556757310 cites W1997826048 @default.
• W1556757310 cites W1998522803 @default.
• W1556757310 cites W2007785900 @default.
• W1556757310 cites W2012798055 @default.
• W1556757310 cites W2026416204 @default.
• W1556757310 cites W2033715518 @default.
• W1556757310 cites W2036941780 @default.
• W1556757310 cites W2038511160 @default.
• W1556757310 cites W2040989045 @default.
• W1556757310 cites W2049234737 @default.
• W1556757310 cites W2049676598 @default.
• W1556757310 cites W2049755890 @default.
• W1556757310 cites W2055808879 @default.
• W1556757310 cites W2056936851 @default.
• W1556757310 cites W2058404065 @default.
• W1556757310 cites W2063329112 @default.
• W1556757310 cites W2068527816 @default.
• W1556757310 cites W2074790379 @default.
• W1556757310 cites W2077207288 @default.
• W1556757310 cites W2078309414 @default.
• W1556757310 cites W2089556049 @default.
• W1556757310 cites W2095676652 @default.
• W1556757310 cites W2096696954 @default.
• W1556757310 cites W2097344005 @default.
• W1556757310 cites W2104839685 @default.
• W1556757310 cites W2113726750 @default.
• W1556757310 cites W2118775685 @default.
• W1556757310 cites W2118854883 @default.
• W1556757310 cites W2123518587 @default.
• W1556757310 cites W2127247970 @default.
• W1556757310 cites W2128475248 @default.
• W1556757310 cites W2135395072 @default.
• W1556757310 cites W2135448478 @default.
• W1556757310 cites W2144570112 @default.
• W1556757310 cites W2146904825 @default.
• W1556757310 cites W2148709680 @default.
• W1556757310 cites W2151726729 @default.
• W1556757310 cites W2160183711 @default.
• W1556757310 cites W2165408259 @default.
• W1556757310 cites W2171471292 @default.
• W1556757310 cites W2172164632 @default.
• W1556757310 cites W2423293082 @default.
• W1556757310 cites W2795413297 @default.
• W1556757310 cites W3121507887 @default.
• W1556757310 cites W3124215555 @default.
• W1556757310 cites W3124764989 @default.
• W1556757310 cites W3143394208 @default.
• W1556757310 cites W3152024624 @default.
• W1556757310 doi "https://doi.org/10.2139/ssrn.1600716" @default.
• W1556757310 hasPublicationYear "2012" @default.
• W1556757310 type Work @default.
• W1556757310 sameAs 1556757310 @default.
• W1556757310 citedByCount "0" @default.
• W1556757310 crossrefType "journal-article" @default.
• W1556757310 hasAuthorship W1556757310A5018474791 @default.
• W1556757310 hasAuthorship W1556757310A5064362601 @default.
• W1556757310 hasConcept C105795698 @default.
• W1556757310 hasConcept C106159729 @default.
• W1556757310 hasConcept C121332964 @default.
• W1556757310 hasConcept C139819358 @default.
• W1556757310 hasConcept C144237770 @default.
• W1556757310 hasConcept C149782125 @default.
• W1556757310 hasConcept C158622935 @default.
• W1556757310 hasConcept C162324750 @default.
• W1556757310 hasConcept C175444787 @default.
• W1556757310 hasConcept C2776291640 @default.
• W1556757310 hasConcept C2780821815 @default.
• W1556757310 hasConcept C33923547 @default.
• W1556757310 hasConcept C38652104 @default.
• W1556757310 hasConcept C41008148 @default.
• W1556757310 hasConcept C62520636 @default.
• W1556757310 hasConcept C76178495 @default.
• W1556757310 hasConceptScore W1556757310C105795698 @default.
• W1556757310 hasConceptScore W1556757310C106159729 @default.
• W1556757310 hasConceptScore W1556757310C121332964 @default.
• W1556757310 hasConceptScore W1556757310C139819358 @default.
• W1556757310 hasConceptScore W1556757310C144237770 @default.
• W1556757310 hasConceptScore W1556757310C149782125 @default.
• W1556757310 hasConceptScore W1556757310C158622935 @default.
• W1556757310 hasConceptScore W1556757310C162324750 @default.
• W1556757310 hasConceptScore W1556757310C175444787 @default.
• W1556757310 hasConceptScore W1556757310C2776291640 @default.
• W1556757310 hasConceptScore W1556757310C2780821815 @default.

• next