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Hedging climate change news
Engle, Robert F.; Giglio, Stefano; Lee, Heebum; Kelly, … - 2019 - This version: May 7, 2019
We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news series that we construct through textual analysis of newspapers. We then use a mimicking portfolio approach to build climate change hedge portfolios. We discipline the exercise...
Persistent link: https://www.econbiz.de/10012024377
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Hedging climate change news
Engle, Robert F.; Giglio, Stefano; Kelly, Bryan T.; … - 2019
Persistent link: https://www.econbiz.de/10012015507
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CAViaR : conditional autoregressive value at risk by regression quantiles
Engle, Robert F.; Manganelli, Simone - 1999
Persistent link: https://www.econbiz.de/10001441337
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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000982923
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CAViaR : conditional value at risk by quantile regression
Engle, Robert F.; Manganelli, Simone - 1999
Persistent link: https://www.econbiz.de/10001415135
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Time-varying betas and asymmetric effects of news : empirical analysis of blue chip stocks
Cho, Young-hye; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001417230
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On portfolio optimization : forecasting covariances and choosing the risk model
Chan, Louis K. C.; Karceski, Jason; Lakonishok, Josef - 1999
Persistent link: https://www.econbiz.de/10001378371
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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001448004
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022
Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...
Persistent link: https://www.econbiz.de/10013040932
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Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021
Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...
Persistent link: https://www.econbiz.de/10012584099