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Testing for mean-variance spanning: a survey. (2001). Nijman, Theo ; de Roon, Frans A..
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:8:y:2001:i:2:p:111-155.

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  1. High-Dimensional Mean-Variance Spanning Tests. (2024). Sessinou, Rosnel ; Laurent, S'Ebastien ; Ardia, David.
    In: Papers.
    RePEc:arx:papers:2403.17127.

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  2. Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds. (2023). Melin, Olena ; Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001586.

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  3. The Mean-Variance Core of Cryptocurrencies: When More is Not Better. (2022). Galvani, Valentina ; Faychuk, Vita.
    In: Working Papers.
    RePEc:ris:albaec:2022_004.

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  4. Inflation-Linked Bonds as a Separate Asset Class: Evidence from Emerging and Developed Markets. (2021). Srivastava, Aman ; Mehta, Chhavi ; Chopra, Monika.
    In: Global Business Review.
    RePEc:sae:globus:v:22:y:2021:i:1:p:219-235.

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  5. Global factor premiums. (2021). Swinkels, Laurens ; van Vliet, Pim ; Baltussen, Guido.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:142:y:2021:i:3:p:1128-1154.

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  6. Do Sukuk provide diversification benefits to conventional bond investors? Evidence from Turkey. (2021). Karan, Mehmet Baha ; Arslan-Ayaydin, Ozgur ; Pirgaip, Burak.
    In: Global Finance Journal.
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  7. Commodity Futures Return Predictability and Intertemporal Asset Pricing. (2020). Eyiah-Donkor, Emmanuel ; Cotter, John ; Pot, Valerio.
    In: Working Papers.
    RePEc:ucd:wpaper:202011.

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  8. Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds. (2020). Karehnke, Paul ; de Roon, Frans.
    In: Management Science.
    RePEc:inm:ormnsc:v:66:y:12:i:2020:p:5969-5989.

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  9. What drives the market for exchange-traded notes?. (2020). Rakowski, David ; Shirley, Sara.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302766.

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  10. Theyre back! Post-financialization diversification benefits of commodities. (2020). Manseau, Guillaume ; Gagnon, Marie-Helene ; Power, Gabriel J.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301599.

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  11. Diversification Benefits of Cat Bonds: An In-Depth Examination. (2019). Lai, Van Son ; Demers-Belanger, Karl.
    In: Working Papers.
    RePEc:ipg:wpaper:2019-008.

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  12. An Investigation into the Benefits of Investing in Chinese Multinational Companies. (2018). .
    In: Journal of Emerging Market Finance.
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  13. An empirical examination of the diversification benefits of U.K. international equity closed-end funds. (2018). Fletcher, Jonathan.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:55:y:2018:i:c:p:23-34.

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  14. Comparing large-sample maximum Sharpe ratios and incremental variable testing. (2018). Hanke, Michael ; Penev, Spiridon.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:265:y:2018:i:2:p:571-579.

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  15. Predictability and diversification benefits of investing in commodity and currency futures. (2017). Potì, Valerio ; cotter, john ; Poti, Valerio ; Eyiah-Donkor, Emmanuel .
    In: International Review of Financial Analysis.
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  16. Frontier and emerging government bond markets. (2017). Swinkels, Laurens ; Piljak, Vanja.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:30:y:2017:i:c:p:232-255.

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  17. Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances. (2016). Luger, Richard ; Gungor, Sermin .
    In: Journal of Business & Economic Statistics.
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  18. Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach. (2016). Topaloglou, Nikolas ; Skiadopoulos, George ; Daskalaki, Charoula.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp797.

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  19. Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach. (2016). Topaloglou, Nikolas ; Skiadopoulos, George ; Daskalaki, Charoula.
    In: Working Papers.
    RePEc:qmw:qmwecw:797.

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  20. Portfolio Diversification with Commodities in Times of Financialization. (2015). Zaremba, Adam.
    In: International Journal of Finance & Banking Studies.
    RePEc:rbs:ijfbss:v:4:y:2015:i:1:p:18-36.

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  21. Why stay-at-home investing makes sense. (2015). Berrill, Jenny ; O'Hagan-Luff, Martha .
    In: International Review of Financial Analysis.
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  22. The cross-market index for volatility surprise. (2014). Chevallier, Julien ; Aboura, Sofiane.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:15:y:2014:i:1:d:10.1057_jam.2014.5.

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  23. Factor reversal in the euro zone stock returns: Evidence from the crisis period. (2014). Suardi, Sandy ; Chou, Hsin-I ; Chou, Hsin-I, ; Zhao, Jing.
    In: Journal of International Financial Markets, Institutions and Money.
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  24. Can investment in microfinance funds improve risk-return characteristics of a portfolio?. (2014). Janda, Karel ; Svarovska, B ; Rausser, G.
    In: Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series.
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  25. Can investment in microfinance funds improve risk-return characteristics of a portfolio?. (2014). Janda, Karel ; Svarovska, B ; Rausser, G.
    In: Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series.
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  26. Return and risk of human capital contracts. (2013). Sprietsma, Maresa ; Kroencke, Tim ; Muehler, Grit .
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:13108.

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  27. Riding the yield curve: a spanning analysis. (2013). Landon, Stuart ; Galvani, Valentina.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:40:y:2013:i:1:p:135-154.

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  28. Time Variation in Diversification Benefits of Commodity, REITs, and TIPS. (2013). Huang, Jingzhi ; Zhong, Zhaodong.
    In: The Journal of Real Estate Finance and Economics.
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  29. Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky. (2013). Szafarz, Ariane ; OOSTERLINCK, Kim ; Mignon, Valérie ; Drut, Bastien ; Briere, Marie.
    In: Post-Print.
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  30. Spanning with futures contracts. (2013). Plourde, Andre ; Galvani, Valentina.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:53:y:2013:i:1:p:61-72.

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  31. Factor decomposition and diversification in European corporate bond markets. (2013). Mahieu, Ronald ; Pieterse-Bloem, Mary .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:32:y:2013:i:c:p:194-213.

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  32. Mean–variance dominant trading strategies. (2013). Galvani, Valentina ; Gubellini, Stefano .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:10:y:2013:i:3:p:142-150.

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  33. Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky. (2013). Szafarz, Ariane ; Mignon, Valerie ; Briere, Marie ; Oosterlinck, Kim ; Drut, Bastien .
    In: Economics Papers from University Paris Dauphine.
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  34. Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances. (2013). Luger, Richard ; Gungor, Sermin.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-16.

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  35. Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky.. (2012). Szafarz, Ariane ; OOSTERLINCK, Kim ; Mignon, Valérie ; Drut, Bastien ; Brière, Marie ; Briere, Marie.
    In: Working Papers CEB.
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  36. The Cross-Section of Stock Returns in Frontier Emerging Markets. (2012). Swinkels, Laurens ; Pang, J. ; de Groot, W. ; Swinkels, L. A. P., .
    In: ERIM Report Series Research in Management.
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  37. International diversification with securitized real estate and the veiling glare from currency risk. (2012). Schindler, Felix ; Kroencke, Tim.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:7:p:1851-1866.

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  38. Are good-news firms riskier than bad-news firms?. (2012). Min, Byoung-Kyu ; Kim, Tong Suk.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:5:p:1528-1535.

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  39. The cross-section of stock returns in frontier emerging markets. (2012). Swinkels, Laurens ; Pang, Juan ; de Groot, Wilma .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:5:p:796-818.

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  40. Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach. (2012). Sentana, Enrique ; Pearanda, Francisco .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:2:p:303-324.

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  41. Tests of Mean-Variance Spanning. (2012). Zhou, Guofu ; Kan, Raymond.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2012:v:13:i:1:kanzhou.

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  42. International diversification with securitized real estate and the veiling glare from currency risk. (2011). Schindler, Felix ; Kroencke, Tim.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:11012.

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  43. International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk. (2011). Schindler, Felix ; Kroencke, Tim ; Kroncke, Tim-Alexander .
    In: Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis.
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  44. The effect of Emu on bond market integration and investor portfolio allocations. (2011). Pieterse-Bloem, M..
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:3c6ce80d-9260-424a-b889-bf521d2e0313.

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  45. The cost of sustainability on optimal portfolio choices. (2011). Starica, Catalin ; nicolosi, marco ; Herzel, Stefano.
    In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
    RePEc:pia:wpaper:84/2011.

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  46. Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy. (2011). Szafarz, Ariane ; Oosterlinck, Kim ; Mignon, Valerie ; Drut, Bastien ; Briere, Marie.
    In: Working Papers.
    RePEc:hal:wpaper:hal-04140988.

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  47. International diversification and Microfinance. (2011). lensink, robert ; Spierdijk, Laura ; Galema, Rients.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:30:y:2011:i:3:p:507-515.

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  48. Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy. (2011). Szafarz, Ariane ; OOSTERLINCK, Kim ; Mignon, Valérie ; Drut, Bastien ; Brière, Marie ; Briere, Marie.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2011-20.

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  49. Does Money Grow on Trees? The Diversification Properties of U.S. Timberland Investments. (2010). Scholtens, Bert ; Spierdijk, Laura.
    In: Land Economics.
    RePEc:uwp:landec:v:86:y:2010:iii:1:p514-529.

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  50. Social responsibility and mean-variance portfolio selection. (2010). Drut, Bastien.
    In: Working Papers CEB.
    RePEc:sol:wpaper:10-002.

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  51. Sovereign Bonds and Socially Responsible Investment. (2010). Drut, Bastien.
    In: Journal of Business Ethics.
    RePEc:kap:jbuset:v:92:y:2010:i:1:p:131-145.

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  52. Multivariate residual-based finite-sample tests for serial dependence and ARCH effects with applications to asset pricing models. (2010). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude .
    In: Journal of Applied Econometrics.
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  53. International Diversification with Factor Funds. (2010). Eun, Cheol S. ; Zhang, Zhe ; Lai, Sandy ; de Roon, Frans A..
    In: Management Science.
    RePEc:inm:ormnsc:v:56:y:2010:i:9:p:1500-1518.

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  54. Social responsibility and mean-variance portfolio selection. (2010). Drut, Bastien.
    In: Working Papers.
    RePEc:hal:wpaper:hal-04140930.

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  55. Portfolio diversification in energy markets. (2010). Plourde, Andre ; Galvani, Valentina.
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:2:p:257-268.

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  56. Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions. (2010). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:4:p:763-782.

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  57. Asset pricing models and economic risk premia: A decomposition. (2010). Balduzzi, Pierluigi ; Robotti, Cesare.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:1:p:54-80.

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  58. Sovereign Bonds and Socially Responsible Investment. (2009). Drut, Bastien.
    In: Working Papers CEB.
    RePEc:sol:wpaper:09-014.

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  59. A Comparative Analysis of the Returns on Provincial and Federal Canadian Bonds. (2009). Galvani, Valentina ; Behnamian, Aslan .
    In: Working Papers.
    RePEc:ris:albaec:2009_007.

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  60. Portfolio Diversification in Energy Markets. (2009). Plourde, Andre ; Galvani, Valentina.
    In: Working Papers.
    RePEc:ris:albaec:2009_006.

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  61. Spanning with Zero-Price Investment Assets. (2009). Plourde, Andre ; Galvani, Valentina.
    In: Working Papers.
    RePEc:ris:albaec:2009_005.

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  62. Sovereign Bonds and Socially Responsible Investment. (2009). Drut, Bastien.
    In: Working Papers.
    RePEc:hal:wpaper:hal-04140896.

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  63. Thats Where the Money Was: Foreign Bias and English Investment Abroad, 1866-1907. (2009). Chabot, Benjamin ; Kurz, Christopher J. ; ChristopherJ. Kurz, .
    In: Working Papers.
    RePEc:egc:wpaper:972.

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  64. Measuring the economic significance of mean-variance spanning. (2009). Glabadanidis, Paskalis.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:49:y:2009:i:2:p:596-616.

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  65. Do IPO index portfolios improve the investment opportunities for mean-variance investors?. (2009). Chen, Hsuan-Chi ; Ho, Keng-Yu.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:6:y:2009:i:3:p:159-170.

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  66. Thats Where the Money Was: Foreign Bias and English Investment Abroad, 1866-1907. (2009). Kurz, Christopher ; Chabot, Benjamin .
    In: Center Discussion Papers.
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  67. THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY. (2008). Sentana, Enrique.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2008_0807.

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  68. A COMPARISON OF MEAN-VARIANCE EFFICIENCY TESTS. (2008). Amegual, Dante ; Sentana, Enrique.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2008_0806.

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  69. Socially Responsible Investments : Methodology, Risk and Performance. (2007). Renneboog, Luc ; Zhang, C ; Ter, J R ; Renneboog, L. D. R., .
    In: Other publications TiSEM.
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  70. Socially Responsible Investments : Methodology, Risk Exposure and Performance. (2007). Renneboog, Luc ; Zhang, C ; Ter, J R ; Renneboog, L. D. R., .
    In: Other publications TiSEM.
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  71. Socially Responsible Investments : Methodology, Risk Exposure and Performance. (2007). ter Horst, Jenke ; Renneboog, Luc ; Zhang, C. ; ter Horst, J. R., ; Renneboog, L. D. R., .
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  72. Socially Responsible Investments : Methodology, Risk and Performance. (2007). ter Horst, Jenke ; Renneboog, Luc ; Zhang, C. ; ter Horst, J. R., ; Renneboog, L. D. R., .
    In: Discussion Paper.
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  73. A note on spanning with options. (2007). Galvani, Valentina.
    In: Mathematical Social Sciences.
    RePEc:eee:matsoc:v:54:y:2007:i:1:p:106-114.

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  74. The risk-return trade-off in human capital investment. (2007). Nielsen, Helena ; Joensen, Juanna ; Christiansen, Charlotte.
    In: Labour Economics.
    RePEc:eee:labeco:v:14:y:2007:i:6:p:971-986.

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  75. Underlying assets for which options complete the market. (2007). Galvani, Valentina.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:4:y:2007:i:1:p:59-66.

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  76. Long-horizon event studies and event firm portfolio weights: Evidence from U.K. rights issues re-visited. (2007). Abhyankar, Abhay ; Ho, Keng-Yu.
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  77. DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION. (2007). Pearanda, Francisco .
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  78. Testing for Mean-Coherent Regular Risk Spanning. (2005). Polbennikov, S Y ; Melenberg, B.
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  79. Testing for Mean-Coherent Regular Risk Spanning. (2005). Melenberg, Bertrand ; Polbennikov, S. Y..
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  80. Asset-pricing models and economic risk premia: a decomposition. (2005). Robotti, Cesare ; Balduzzi, Pierluigi.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2005-13.

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  81. The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments. (2005). Renault, Eric ; Garcia, René ; Chabi-Yo, Fousseni.
    In: Staff Working Papers.
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  82. Evaluating style analysis. (2004). de Roon, F. A. ; ter Horst, J. R., ; Nijman, T. E..
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    RePEc:tiu:tiutis:8a501733-7a06-4399-8a43-0cc39778c945.

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  83. Evaluating style analysis. (2004). ter Horst, Jenke ; Nijman, Theo ; de Roon, Frans A..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:11:y:2004:i:1:p:29-53.

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  84. SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH. (2004). Pearanda, Francisco .
    In: Working Papers.
    RePEc:cmf:wpaper:wp2004_0410.

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  85. An Empirical Analysis of the Risk Properties of Human Capital Returns. (2003). Palacios-Huerta, Ignacio.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:3:p:948-964.

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  86. Minimum-variance kernels, economic risk premia, and tests of multi-beta models. (2001). Robotti, Cesare ; Balduzzi, Pierluigi.
    In: FRB Atlanta Working Paper.
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Cocites

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  1. A Robust Approach to Hedging and Pricing in Imperfect Markets. (2017). Gospodinov, Nikolay ; Assa, Hirbod.
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  2. Variance bounds on the permanent and transitory components of stochastic discount factors. (2012). Chabi-Yo, Fousseni ; Bakshi, Gurdip .
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  3. Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors. (2011). Chabi-Yo, Fousseni ; Bakshi, Gurdip .
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  4. Asset pricing models and economic risk premia: A decomposition. (2010). Balduzzi, Pierluigi ; Robotti, Cesare.
    In: Journal of Empirical Finance.
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  5. Specification tests of asset pricing models using excess returns. (2008). Robotti, Cesare ; Kan, Raymond.
    In: Journal of Empirical Finance.
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  6. It takes a model to beat a model: Volatility bounds. (2008). Liu, Ludan.
    In: Journal of Empirical Finance.
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  7. Testing heterogeneous-agent models: an alternative aggregation approach. (2007). Balduzzi, Pierluigi ; Yao, Tong .
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  8. Essays on optimal hedging and investment strategies and on derivative pricing. (2004). van den Goorbergh, Rob ; van den Goorbergh, R. W. J., .
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  9. Currency hedging for international stock portfolios : The usefulness of mean variance analysis. (2003). de Roon, F. A. ; Werker, B. J. M., ; Nijman, T. E..
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  10. Economic Hedging Portfolios. (2003). Werker, B. J. M., ; de Roon, F A ; van den Goorbergh, R. W. J., .
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  11. Economic Hedging Portfolios. (2003). Werker, Bas ; van den Goorbergh, Rob ; de Roon, F. A. ; Werker, B. J. M., ; van den Goorbergh, R. W. J., .
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  12. Corporate Equity and Commercial Property Market Bubbles. (2003). hendershott, patric.
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  13. Currency hedging for international stock portfolios: The usefulness of mean-variance analysis. (2003). Werker, Bas ; Nijman, Theo ; de Roon, Frans A..
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  14. Testing for mean-variance spanning : A survey. (2001). de Roon, F. A. ; Nijman, T. E..
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  15. Economic Factors Influence on the Russian Capital Market Behavior. (2001). .
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  16. Mean reversion in asset returns and time non-separable preferences. (2001). Zemcik, Petr.
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  17. Testing for mean-variance spanning: a survey. (2001). Nijman, Theo ; de Roon, Frans A..
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  18. Currency Hedging for International Stock Portfolios. (2000). de Roon, F. A. ; Werker, B. J. M., ; Nijman, T. E..
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  19. Currency Hedging for International Stock Portfolios : A General Approach. (1999). Werker, B. J. M., ; Nijman, T E ; de Roon, F A.
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  20. Currency Hedging for International Stock Portfolios : A General Approach. (1999). Werker, Bas ; Nijman, Theo ; de Roon, F. A. ; Werker, B. J. M., .
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  21. Testing for mean-variance spanning : A survey. (1998). Nijman, T E ; de Roon, F A.
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  22. Testing for mean-variance spanning : A survey. (1998). Nijman, Theo ; de Roon, F. A..
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