Christopher J. Adcock

University of Sheffield - School of Management

9 Mappin Street

Sheffield, S1 4DT

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

600

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (7)

1.

Value-at-Risk Forecasting Ability of Filtered Historical Simulation for Non-Normal GARCH Returns

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 45 Posted: 22 Aug 2012 Last Revised: 22 Jan 2013
Christopher J. Adcock, Nelson Areal and Benilde Oliveira
University of Sheffield - School of Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 391 (98,642)
Citation 1

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Backtesting, Extreme value theory, GARCH, Filtered historical simulation, Value at Risk

2.

Does the Stock Market Reward Innovation? European Stock Index Reaction to Negative News During the Global Financial Crisis

Number of pages: 37 Posted: 08 Jun 2014
Christopher J. Adcock, Xiuping Hua, Khelifa Mazouz and Shuxing Yin
University of Sheffield - School of Management, University of Nottingham Ningbo China - Business School, University of Bradford - School of Management and University of Sheffield - School of Management
Downloads 94 (352,300)
Citation 1

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Innovation; R&D investments; Stock price reaction; Time-varying betas

3.

Portfolio Performance Measurement: Monotonicity with Respect to the Sharpe Ratio and Multivariate Tests of Correlation

Number of pages: 44 Posted: 23 Dec 2015 Last Revised: 25 Oct 2017
University of Sheffield - School of Management, University of Minho - School of Economics and Management, University of Minho, University of Minho - School of Economics and Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 93 (354,739)

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Downside risk measures, Location-scale distributions, Portfolio performance measures, Tests of correlation

4.

An Empirical Study of Portfolio Selection for Optimally Hedged Portfolios

Multinational Finance Journal, Vol. 7, No. 1/2, p. 83-106, 2003
Number of pages: 24 Posted: 07 Jul 2015
Christopher J. Adcock
University of Sheffield - School of Management
Downloads 22 (643,714)

Abstract:

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exchange rate risk; currency hedging; mean-variance optimization

5.

Extensions of Hotellings Test and Other Tests for Multiple Regression Models

Posted: 05 Oct 2017
Christopher J. Adcock, Maria C. Cortez and Florinda Silva
University of Sheffield - School of Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management

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Hotelling’s Test, Linear regression, simple least squares, variable selection

6.

New Tests of Correlation and the Choice of Measures of Portfolio Performance

Posted: 31 May 2014 Last Revised: 05 Oct 2017
University of Sheffield - School of Management, University of Minho - School of Economics and Management, University of Minho, University of Minho - School of Economics and Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management

Abstract:

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Downside risk measures, Location-scale distributions, Portfolio performance measures, Tests of correlation

7.

Does the Use of Downside Risk-Adjusted Measures Impact the Performance of UK Investment Trusts?

23rd Australasian Finance and Banking Conference 2010 Paper
Posted: 22 Aug 2010 Last Revised: 24 Dec 2015
University of Sheffield - School of Management, University of Minho - School of Economics and Management, University of Minho, University of Minho - School of Economics and Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management

Abstract:

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Fund performance evaluation, Downside risk-measures, Filtred historical simulation