Financial contagion and international portfolio flows

AS Van Royen - Financial Analysts Journal, 2002 - Taylor & Francis
Financial contagion is an issue of interest to policymakers and portfolio managers. In the
presence of contagion, the benefits of geographical diversification may be overstated. …

Risk, regimes, and overconfidence

M Kritzman, K Lowry, AS Van Royen - Risk Management: The State of the …, 2001 - Springer
Investors typically think of risk as the uncertainty of wealth at the end of their investment
horizon. By focusing on the dispersion of ending wealth, investors ignore the effect of interim …

Bootstrap Predictability of Daily Exchange Rates in ARMA Models

DN Tambakis, AS Royen - 1999 - wrap.warwick.ac.uk
… Demos Tambakis and Anne-Sophie Van Royen … Demos Tambakis and Anne-Sophie
Van Royen, Bootstrap Predictability of Daily Exchange Rates in ARMA Models, WP99-05 …

Conditional predictability of daily exchange rates

DN Tambakis, AS Van Royen - Journal of Forecasting, 2002 - Wiley Online Library
At what forecast horizon is one time series more predictable than another? This paper
applies the Diebold–Kilian conditional predictability measure to assess the out‐of‐sample …

Hedge Fund Index Returns

AS Van Royen - The Journal of Retirement, 2002 - pm-research.com
Hedge fund managers generally claim to share one common characteristic: a low correlation
with long-only traditional asset classes. The author examines this claim by analyzing …

Cross-country and intertemporal indexes of risk aversion

M Kritzman, K Lowry, AS Van Royen - Journal of Asset Management, 2002 - Springer
One of the most common and firmly held views of financial economics is that investors are
averse to risk. Although a formal description of risk aversion was proposed by the celebrated …

11. RISK, REGIMES, AND OVERCONFIDENCE

…, K LOWRY, AS VAN ROYEN - Risk Management: The …, 2012 - books.google.com
Investors typically think of risk as the uncertainty of wealth at the end of their investment
horizon. By focusing on the dispersion of ending wealth, investors ignore the effect of interim …

The Significance of Trading Frequency and Stop Loss in Trend Following Strategies

…, S Tavernier, AS Van Royen - Available at SSRN …, 2013 - papers.ssrn.com
We investigate the impact of two practices generally leading to increased trading on a generic
trend following model; the frequency of trading and stop loss rules. For generality, we use …

[PDF][PDF] Bootstrap Predictability of Daily Exchange Rates1

DN Tambakis, AS Van Royen - warwick.ac.uk
We develop a measure of time series predictability and apply it to evaluate alternative
parametric models' out-of-sample performance. Predictability is a nonlinear statistic of a …

The Multiple Dimensions of Asset Allocation: Countries, Sectors or Factors?

ASE Vanroyen, S Page - Sectors or Factors, 2001 - papers.ssrn.com
Asset allocation has been performed traditionally along country lines. If the balance is shifting
towards sectors, then skill in forecasting relative country returns may not be sufficient to …