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Kurtosis-based projection pursuit for outlier detection in financial time series
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Kurtosis-based projection pursuit for outlier detection in financial time series (2019)Kurtosis-based projection pursuit for out…Wavelet-based detection of outliers in financial time series (2010)Wavelet-based detection of ou…Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation (2009)Multivariate location–scale m…Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution (2009)Asset pricing and portfolio s…Optimal Portfolio Allocation under Higher Moments (2006)Optimal Portfolio Allocation …Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Analysis of Financial Time Series (2005)Analysis of Financial Time Se…Large stock market price drawdowns are outliers (2001)Large stock market price draw…Skewness in financial returns (1999)Skewness in financial returnsStock market crashes are outliers (1998)Stock market crashes are outl…Portfolio Selection and Asset Pricing—Three-Parameter Framework (1993)Portfolio Selection and Asset…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Portfolio Selection: Efficient Diversification of Investments (1959)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. 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New evidence (2011)Technical trading revisited: False discoveries, persistence tests, and transaction costs (2012)Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach (2018)Econophysics review: I. Empirical facts (2011)The impact of the Russian-Ukrainian war on global financial markets (2023)
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References

  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 2005Analysis of Financial Time Series1,350 cited
  • 2006Optimal Portfolio Allocation under Higher Moments411 cited
  • 1999Skewness in financial returns292 cited
  • 2001Large stock market price drawdowns are outliers163 cited
  • 1998Stock market crashes are outliers141 cited
  • 2009Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution126 cited
  • 1993Portfolio Selection and Asset Pricing—Three-Parameter Framework111 cited
  • 2009Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation100 cited
  • 2010Wavelet-based detection of outliers in financial time series80 cited

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