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On the Importance of Time Variability in Higher Moments for Asset Allocation
16 references·11 citing·47 second hop
On the Importance of Time Variability in Higher Moments for Asset Allocation (2011)On the Importance of Time Variability in …Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Stocks as Lotteries: The Impl…The Dog That Did Not Bark: A Defense of Return Predictability (2007)The Dog That Did Not Bark: A …Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Foreign Exchange Volume (2021)Foreign Exchange VolumeA Credit-Based Theory of the Currency Risk Premium (2019)A Credit-Based Theory of the …Do Commodities Add Economic Value in Asset Allocation? 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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2008Stocks as Lotteries: The Implications of Probability Weighting for Security Prices1,548 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2000

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Investing for the Long Run when Returns Are Predictable
1,372 cited
  • 2007The Dog That Did Not Bark: A Defense of Return Predictability1,227 cited
  • Cited by

    • 2016High-dimensional copula-based distributions with mixed frequency data83 cited
    • 2021Foreign Exchange Volume71 cited
    • 2018Do Commodities Add Economic Value in Asset Allocation? New Evidence from Time-Varying Moments70 cited
    • 2011Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals45 cited
    • 2015Higher order comoments of multifactor models and asset allocation41 cited
    • 2016A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables38 cited
    • 2015Improving international diversification benefits for US investors35 cited
    • 2014An Empirical Analysis of the Ross Recovery Theorem33 cited
    • 2015Information Processing and Non-Bayesian Learning in Financial Markets28 cited
    • 2019A Credit-Based Theory of the Currency Risk Premium25 cited
    • 2018Diversification benefits of Shari'ah compliant equity ETFs in emerging markets22 cited