Andreu, L., Matallín-Sáez, J. C. y Sarto, J. L. (2018). Mutual fund performance attribution and market timing using portfolio holdings. International...
Ang, A. y Chen J. (2002). Asymmetric correlations of equity portfolios. Journal of Financial Economics, 63, 443-494.
Ang, A., Chen, J. y Xing, Y. (2006). Downside risk. The Review of Financial Studies, 19(4), 1.191-1.239.
Bekaert, G. y Wu, G. (2000). Asymmetric volatility and risk in equity markets. Review of Financial Studies, 13, 1-42.
Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57-82.
Chordia, T., Goyal, A. y Tong, Q. (2011). Asymmetric correlations (Working Paper). Goizueta Business School, Emory University.
Daniel, K. y Titman, S. (1998). Characteristics or covariances. Journal of Portfolio Management, 24, 24-33.
Fama, E. F. y French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.