PublisherDOIYearVolumeIssuePageTitleAuthor(s)Link
Korean Journal of Financial Studies10.26845/kjfs.2022.10.51.5.6352022515635-664Cryptoasset Returns: Statistical Properties and Implications for Asset AllocationsHyemin Kim, Noolee Kimhttp://e-kjfs.org/upload/pdf/KJFS-2022-10-51-5-635.pdf, http://e-kjfs.org/journal/view.php?doi=10.26845/KJFS.2022.10.51.5.635, http://e-kjfs.org/upload/pdf/KJFS-2022-10-51-5-635.pdf
Statistical Papers10.1007/s00362-007-0108-x2007503593-604Statistical inference of the efficient frontier for dependent asset returnsTaras Bodnar, Wolfgang Schmid, Taras Zabolotskyyhttp://link.springer.com/content/pdf/10.1007/s00362-007-0108-x.pdf, http://link.springer.com/article/10.1007/s00362-007-0108-x/fulltext.html, http://link.springer.com/content/pdf/10.1007/s00362-007-0108-x
Statistical Tools for Finance and Insurance10.1007/978-3-642-18062-0_1201121-55Models for heavy-tailed asset returnsSzymon Borak, Adam Misiorek, Rafał Weronhttps://link.springer.com/content/pdf/10.1007/978-3-642-18062-0_1
Journal of Asset Management10.1057/palgrave.jam.2240192200666418-432Explaining US stock market returns from 1980 to 2005: Implications for the next 25 yearsDamir Tokichttp://link.springer.com/content/pdf/10.1057/palgrave.jam.2240192.pdf, http://link.springer.com/article/10.1057/palgrave.jam.2240192/fulltext.html, http://link.springer.com/content/pdf/10.1057/palgrave.jam.2240192, http://link.springer.com/content/pdf/10.1057/palgrave.jam.2240192.pdf
Physica A: Statistical Mechanics and its Applications10.1016/j.physa.2004.05.0612004343603-622Multifractal model of asset returns with leverage effectZ. Eisler, J. Kertészhttps://api.elsevier.com/content/article/PII:S0378437104007307?httpAccept=text/xml, https://api.elsevier.com/content/article/PII:S0378437104007307?httpAccept=text/plain
Finance and Economics Discussion Series10.17016/feds.2005.3620052005361-72Large Investors: Implications for Equilibrium Asset Returns, Shock Absorption, and LiquidityMatthew Pritskerhttps://www.federalreserve.gov/pubs/feds/2005/200536/200536pap.pdf, https://www.federalreserve.gov/pubs/feds/2005/200536/200536pap.pdf
Review of International Economics10.1111/roie.120492013213475-491An Economic Evaluation of Model Risk in Long-term Asset AllocationsChristophe Boucher, Gregory Jannin, Patrick Kouontchou, Bertrand Maillethttps://api.wiley.com/onlinelibrary/tdm/v1/articles/10.1111%2Froie.12049, http://onlinelibrary.wiley.com/wol1/doi/10.1111/roie.12049/fullpdf
Insurance: Mathematics and Economics10.1016/s0167-6687(00)00067-6200128169-82A class of non-expected utility risk measures and implications for asset allocationsJohn van der Hoek, Michael Sherrishttps://api.elsevier.com/content/article/PII:S0167668700000676?httpAccept=text/xml, https://api.elsevier.com/content/article/PII:S0167668700000676?httpAccept=text/plain
Physica A: Statistical Mechanics and its Applications10.1016/j.physa.2010.12.002201139071300-1314Asset returns and volatility clustering in financial time seriesJie-Jun Tseng, Sai-Ping Lihttps://api.elsevier.com/content/article/PII:S0378437110010137?httpAccept=text/xml, https://api.elsevier.com/content/article/PII:S0378437110010137?httpAccept=text/plain
Physica A: Statistical Mechanics and its Applications10.1016/s0378-4371(00)00101-120002821-2304-324Time-independent models of asset returns revisitedL. Gillemot, J. Töyli, J. Kertesz, K. Kaskihttps://api.elsevier.com/content/article/PII:S0378437100001011?httpAccept=text/xml, https://api.elsevier.com/content/article/PII:S0378437100001011?httpAccept=text/plain