Trading Rules and Value at Risk: Is There a Linkage?

Author:

Vasileiou Evangelos,Karagiannaki Maria,Samitas Aristeidis

Publisher

Springer Nature Switzerland

Reference40 articles.

1. Abarbanell, J. S., & Bushee, B. J. (1997). Fundamental analysis, future earnings, and stock prices. Journal of Accounting Research, 35(1), 1–24.

2. Adrian, T., & Shin, H. S. (2014). Procyclical leverage and value-at-risk. The Review of Financial Studies, 27(2), 373–403.

3. Alexander, S. S. (1961). Price movements in speculative markets: Trends or random walks. Industrial Management Review, 2, 7–26.

4. Alexander, S. S. (1964). Price movements in speculative markets: Trends or random walks. No. 2. Industrial Management Review, 5, 25–46.

5. Alexander, G. J., & Baptista, A. M. (2003). Portfolio performance evaluation using value at risk. The Journal of Portfolio Management, 29(4), 93–102.

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