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Portfolio performance measurement using APM-free kernel models

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  • Ayadi, Mohamed A.
  • Kryzanowski, Lawrence
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 29 (2005)
    Issue (Month): 3 (March)
    Pages: 623-659

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    Handle: RePEc:eee:jbfina:v:29:y:2005:i:3:p:623-659

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    Cited by:
    1. Zhang, Xibin & Brooks, Robert D. & King, Maxwell L., 2009. "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Journal of Econometrics, Elsevier, vol. 153(1), pages 21-32, November.
    2. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2011. "Fixed-income fund performance: Role of luck and ability in tail membership," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 379-392, June.

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