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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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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4CPDJTM-3/2/a77c5facbbf0763037944db42b0afd6c
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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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    Web page: http://www.elsevier.com/locate/jbf

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    References

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    47. Kryzanowski, Lawrence & Lalancette, Simon & To, Minh Chau, 1997. "Performance Attribution using an APT with Prespecified Macrofactors and Time-Varying Risk Premia and Betas," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(02), pages 205-224, June.
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    Cited by:
    1. Xibin Zhang & Robert D. Brooks & Maxwell L. King, 2007. "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Monash Econometrics and Business Statistics Working Papers 11/07, Monash University, Department of Econometrics and Business Statistics.
    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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