Bootstrap prediction intervals for ARCH models JJ Reeves International Journal of Forecasting 21 (2), 237-248, 2005 | 66 | 2005 |
Constant versus Time‐Varying Beta Models: Further Forecast Evaluation JJ Reeves, H Wu Journal of Forecasting 32 (3), 256-266, 2013 | 47 | 2013 |
Quarterly beta forecasting: An evaluation VJ Hooper, K Ng, JJ Reeves International Journal of Forecasting 24 (3), 480-489, 2008 | 31 | 2008 |
Monthly Beta Forecasting with Low‐, Medium‐and High‐Frequency Stock Returns T Cenesizoglu, Q Liu, JJ Reeves, H Wu Journal of Forecasting 35 (6), 528-541, 2016 | 29 | 2016 |
CAPM, components of beta and the cross section of expected returns T Cenesizoglu, JJ Reeves Journal of Empirical Finance 49, 223-246, 2018 | 22 | 2018 |
Interpreting Value at Risk (VaR) forecasts AW Gregory, R Jonathan J. Economic Systems 32 (2), 167-176, 2008 | 17 | 2008 |
Estimation and inference in ARCH models in the presence of outliers AW Gregory, JJ Reeves Journal of Financial Econometrics 8 (4), 547-549, 2010 | 13 | 2010 |
Betas and the myth of market neutrality N Papageorgiou, JJ Reeves, X Xie International Journal of Forecasting 32 (2), 548-558, 2016 | 11 | 2016 |
An analysis on the predictability of CAPM beta for momentum returns T Cenesizoglu, N Papageorgiou, JJ Reeves, H Wu Journal of Forecasting 38 (2), 136-153, 2019 | 9 | 2019 |
Beta forecasting at long horizons T Cenesizoglu, FOF Ribeiro, JJ Reeves International Journal of Forecasting 33 (4), 936-957, 2017 | 8 | 2017 |
Equity Investing with Targeted Constant Volatility Exposure NA Papageorgiou, JJ Reeves, M Sherris | 8 | 2015 |
Portfolio management with targeted constant market volatility B Doan, N Papageorgiou, JJ Reeves, M Sherris Insurance: Mathematics and Economics 83, 134-147, 2018 | 6 | 2018 |
Targeting market neutrality JB Lee, JJ Reeves, AC Tjahja, X Xie Quantitative Finance 19 (3), 437-451, 2019 | 4 | 2019 |
Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement A Phin, T Prono, JJ Reeves, K Saxena FEDS Working Paper, 2018 | 3 | 2018 |
Forecasting Volatility in the Presence of Model Instability JM Maheu, JJ Reeves, X Xie Australian & New Zealand Journal of Statistics 52 (2), 221-237, 2010 | 1 | 2010 |