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TL;DR: The basic theory and extensions of mean-variance analysis are discussed in Markowitz as discussed by the authors and Ziemba & Vickson [1975] and Bawa, Brown & Klein [1979] and Michaud [1989] review some of its problems.
Abstract: There is considerable literature on the strengths and limitations of mean-variance analysis. The basic theory and extensions of MV analysis are discussed in Markowitz [1987] and Ziemba & Vickson [1975]. Bawa, Brown & Klein [1979] and Michaud [1989] review some of its problems…
1,217 citations
01 Jan 2001
TL;DR: In this paper, the power transformation of the absolute turn |rt|d also has a high autocorrelation for long lags, and it is possible to characterize |rt |d to be "long memory" and this property is strongest when d is around 1.
Abstract: A "long memory" property of stock market returns is investigated in this paper. It is found that not only there is substantially more correlation between absolute returns than returns themselves, but the power transformation of the absolute turn |rt|d also has quite high autocorrelation for long lags. It is possible to characterize |rt|d to be "long memory" and this property is strongest when d is around 1. This result appears to argue against ARCH type specifications based upon squared returns. But our Monte-Carlo study shows that both ARCH type models based on squared returns and those based on absolute return can produce this property. A new general class of models is proposed which allows the power δ of the heteroskedasticity equation to be estimated from the data.
858 citations
TL;DR: In this article, a general class of long memory models that has no memory in returns themselves but long memory in absolute returns and their power transformations is proposed and the Monte Carlo simulation shows that the theoretical model can mimic the stylized empirical facts strikingly well.
851 citations
TL;DR: In this article, the authors present evidence on persistence in the relative investment performance of large, institutional equity managers, and find persistent performance concentrated in the managers with poor prior-period performance measures.
Abstract: This article presents evidence on persistence in the relative investment performance of large, institutional equity managers. Similar to existing evidence for mutual funds, we find persistent performance concentrated in the managers with poor prior-period performance measures. A conditional approach, using time-varying measures of risk and abnormal performance, is better able to detect this persistence and to predict the future performance of the funds than are traditional methods. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
498 citations
TL;DR: In this article, it was pointed out that a number of other processes can also be long memory, including generalized fractionally integrated models arising from aggregation, time-changing coefficient models, and possibly nonlinear models.
455 citations
Authors
Showing all 82 results
| Name | H-index | Papers | Citations |
|---|---|---|---|
| Michael J. Dueker | 23 | 93 | 2131 |
| Geoffrey J. Warren | 13 | 60 | 399 |
| Barry Feldman | 8 | 17 | 315 |
| Jon A. Christopherson | 7 | 8 | 721 |
| Zhuanxin Ding | 7 | 7 | 5576 |
| Don Ezra | 5 | 16 | 182 |
| Bac Van Luu | 5 | 14 | 148 |
| Paul Bouchey | 5 | 13 | 101 |
| Mahesh Pritamani | 5 | 5 | 280 |
| Artemiza Woodgate | 4 | 4 | 651 |
| Graham Harman | 4 | 10 | 48 |
| Leola B. Ross | 3 | 4 | 28 |
| Chris R. Hensel | 3 | 3 | 297 |
| Uwe Helmes | 3 | 4 | 42 |
| Scott Bennett | 3 | 5 | 28 |