Risk reduction in style rotation
MRD Ulloa, D Giamouridis… - Journal of Portfolio …, 2012 - search.proquest.com
Dupleich Ulloa, Giamouridis, and Montagu investigate the potential improvement in the
implementation of style rotation strategies by techniques addressing estimation errors. They …
implementation of style rotation strategies by techniques addressing estimation errors. They …
[PDF][PDF] Nonnested hypotheses
MRD Ulloa, MH Pesaran - Econometrics; Springer: Berlin/Heidelberg …, 2006 - Citeseer
In economics, as in many other disciplines, there are competing explanations of the same
phenomena, often characterized by alternative statistical models. Different models may …
phenomena, often characterized by alternative statistical models. Different models may …
[CITATION][C] Valuation and Diagnostic of
A ILMANEN - 2012 - search.proquest.com
… Dupleich Ulloa, Giamouridis, and Montagu investigate the potential improvement in the
implementation of style rotation strategies by techniques addressing estimation errors, …
implementation of style rotation strategies by techniques addressing estimation errors, …
[PDF][PDF] The law of one price: Nonlinearities in sectoral real exchange rate dynamics
L Juvenal, MP Taylor - University of Warwick, 2007 - Citeseer
… Luciana Juvenal is grateful for useful suggestions to Michael Clements, Natalie Chen and
Rodrigo Dupleich Ulloa. She also acknoledges the support of the Warwick Postgraduate …
Rodrigo Dupleich Ulloa. She also acknoledges the support of the Warwick Postgraduate …
Threshold adjustment of deviations from the law of one price
… We are also grateful to Ibrahim Chowdhury, Michael Clements, Valentina Corradi, Roberto
Rigobon and Rodrigo Dupleich Ulloa for helpful suggestions and advice at various stages of …
Rigobon and Rodrigo Dupleich Ulloa for helpful suggestions and advice at various stages of …
Factor alignment problems and quantitative portfolio management
Quantitative equity portfolio management has evolved into an interdisciplinary activity that
draws expertise from the fields of finance, statistics, econometrics, accounting, and …
draws expertise from the fields of finance, statistics, econometrics, accounting, and …
[CITATION][C] Testing Self-Exciting Threshold Autoregressive Models Against Structural Change Models: A Nonnested Approach (First Draft)
MRD Ulloa - 2005
[CITATION][C] Representation Theory on Vector Error Correction Models with Nonlinear Adjustments (Version 04/04)
MR Dupleich-Ulloa - 2003
[CITATION][C] Essays in Nonlinear Time Series
MRD Ulloa - 2006 - University of Warwick
[CITATION][C] Testing for Breaks and Threshold effects: A Nonnested approach
MRD Ulloa - 2006