Advanced Search
MyIDEAS: Login

Citations for "Testing for mean-variance spanning: A survey"

by Nijman, T.E. & Roon, F.A. de

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Galvani, Valentina & Behnamian, Aslan, 2009. "A Comparative Analysis of the Returns on Provincial and Federal Canadian Bonds," Working Papers 2009-7, University of Alberta, Department of Economics.
  2. Balduzzi, Pierluigi & Robotti, Cesare, 2010. "Asset pricing models and economic risk premia: A decomposition," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(1), pages 54-80, January.
  3. Melenberg, B. & Polbennikov, S.Y., 2005. "Testing for Mean-Coherent Regular Risk Spanning," Discussion Paper, Tilburg University, Center for Economic Research 2005-99, Tilburg University, Center for Economic Research.
  4. Pierluigi Balduzzi & Cesare Robotti, 2001. "Minimum-variance kernels, economic risk premia, and tests of multi-beta models," Working Paper, Federal Reserve Bank of Atlanta 2001-24, Federal Reserve Bank of Atlanta.
  5. Jing-zhi Huang & Zhaodong Zhong, 2013. "Time Variation in Diversification Benefits of Commodity, REITs, and TIPS," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 46(1), pages 152-192, January.
  6. Min, Byoung-Kyu & Kim, Tong Suk, 2012. "Are good-news firms riskier than bad-news firms?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(5), pages 1528-1535.
  7. Renneboog, L.D.R. & Horst, J.R. ter & Zhang, C., 2007. "Socially Responsible Investments: Methodology, Risk Exposure and Performance," Discussion Paper, Tilburg University, Tilburg Law and Economic Center 2007-013, Tilburg University, Tilburg Law and Economic Center.
  8. Christiansen, Charlotte & Joensen, Juanna Schrøter & Nielsen, Helena Skyt, 2006. "The Risk-Return Trade-Off in Human Capital Investment," IZA Discussion Papers 1962, Institute for the Study of Labor (IZA).
  9. Bastien Drut, 2009. "Sovereign Bonds and Socially Responsible Investment," Working Papers CEB, ULB -- Universite Libre de Bruxelles 09-014.RS, ULB -- Universite Libre de Bruxelles.
  10. Sermin Gungor & Richard Luger, 2013. "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances," Working Papers, Bank of Canada 13-16, Bank of Canada.
  11. Galvani, Valentina & Plourde, Andre, 2009. "Portfolio Diversification in Energy Markets," Working Papers 2009-6, University of Alberta, Department of Economics.
  12. Enrique Sentana & Francisco Peñaranda, 2007. "Duality In Mean-Variance Frontiers With Conditioning Information," Working Papers, CEMFI wp2007_0715, CEMFI.
  13. Galvani, Valentina, 2007. "A note on spanning with options," Mathematical Social Sciences, Elsevier, Elsevier, vol. 54(1), pages 106-114, July.
  14. Galvani, Valentina, 2007. "Underlying assets for which options complete the market," Finance Research Letters, Elsevier, Elsevier, vol. 4(1), pages 59-66, March.
  15. Ignacio Palacios-Huerta, 2003. "An Empirical Analysis of the Risk Properties of Human Capital Returns," American Economic Review, American Economic Association, American Economic Association, vol. 93(3), pages 948-964, June.
  16. Marie Briere & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2012. "Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky," Working Papers CEB, ULB -- Universite Libre de Bruxelles 12-003, ULB -- Universite Libre de Bruxelles.
  17. Benjamin Chabot & Christopher J. Kurz, 2009. "That's Where the Money Was: Foreign Bias and English Investment Abroad, 1866-1907," Working Papers, Economic Growth Center, Yale University 972, Economic Growth Center, Yale University.
  18. Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2010. "Multivariate residual-based finite-sample tests for serial dependence and ARCH effects with applications to asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(2), pages 263-285.
  19. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, Elsevier, vol. 154(1), pages 16-34, January.
  20. Chen, Hsuan-Chi & Ho, Keng-Yu, 2009. "Do IPO index portfolios improve the investment opportunities for mean-variance investors?," Finance Research Letters, Elsevier, Elsevier, vol. 6(3), pages 159-170, September.
  21. Galvani, Valentina & Plourde, André, 2013. "Spanning with futures contracts," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 53(1), pages 61-72.
  22. Glabadanidis, Paskalis, 2009. "Measuring the economic significance of mean-variance spanning," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(2), pages 596-616, May.
  23. Polbennikov, S.Y. & Melenberg, B., 2005. "Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection: An Empirical Comparison," Discussion Paper, Tilburg University, Center for Economic Research 2005-100, Tilburg University, Center for Economic Research.
  24. Schindler, Felix & Kröncke, Tim-Alexander, 2011. "International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk," Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48705, Verein für Socialpolitik / German Economic Association.
  25. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(4), pages 763-782, September.
  26. Abhyankar, Abhay & Ho, Keng-Yu, 2007. "Long-horizon event studies and event firm portfolio weights: Evidence from U.K. rights issues re-visited," International Review of Financial Analysis, Elsevier, Elsevier, vol. 16(1), pages 61-80.
  27. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments," Working Papers, Bank of Canada 05-2, Bank of Canada.
  28. Bastien Drut, 2010. "Social responsibility and mean-variance portfolio selection," EconomiX Working Papers 2010-3, University of Paris West - Nanterre la Défense, EconomiX.
  29. de Roon, Frans & Nijman, Theo E & ter Horst, Jenke, 2002. "Evaluating Style Analysis," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3181, C.E.P.R. Discussion Papers.
  30. Galvani, Valentina & Plourde, Andre, 2009. "Spanning with Zero-Price Investment Assets," Working Papers 2009-5, University of Alberta, Department of Economics.
  31. Szafarz, Ariane & Oosterlinck, Kim & Mignon, Valérie & Drut, Bastien & Brière, Marie, 2011. "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/9297, Paris Dauphine University.
  32. Francisco Peñaranda & Enrique Sentana, 2008. "Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
  33. de Groot, Wilma & Pang, Juan & Swinkels, Laurens, 2012. "The cross-section of stock returns in frontier emerging markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(5), pages 796-818.
  34. Raymond Kan & Guofu Zhou, 2001. "Tests of Mean-Variance Spanning," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics 539, China Economics and Management Academy, Central University of Finance and Economics.
  35. Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 12(3), pages C65-C101, November.
  36. Renneboog, L.D.R. & Horst, J.R. ter & Zhang, C., 2007. "Socially Responsible Investments: Methodology, Risk and Performance," Discussion Paper, Tilburg University, Center for Economic Research 2007-31, Tilburg University, Center for Economic Research.
  37. Galvani, Valentina & Gubellini, Stefano, 2013. "Mean–variance dominant trading strategies," Finance Research Letters, Elsevier, Elsevier, vol. 10(3), pages 142-150.
  38. Galema, Rients & Lensink, Robert & Spierdijk, Laura, 2011. "International diversification and Microfinance," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(3), pages 507-515, April.
  39. Galvani, Valentina & Landon, Stuart, 2011. "Riding the Yield Curve: A Spanning Analysis," Working Papers 2011-19, University of Alberta, Department of Economics.