Showing 1 - 10 of 92
This paper suggests that changing risk conveys information useful to improve performance.
Persistent link: https://www.econbiz.de/10005843230
This paper studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally Gaussian reference model. Based on these...
Persistent link: https://www.econbiz.de/10005687135
The informational content of changing risk for dynmaic asset allocation is analyzed in order to investigate its importance in determining expected index returns. We consider a class of optimal dynamic strategies taking into account both changing risk and expected returns that vary accordingly to...
Persistent link: https://www.econbiz.de/10005771765
We present a geometric approach to discrete time multiperiod mean variance portfolio optimization that largely simplifies the mathematical analysis and the economic interpretation of such model settings. We show that multiperiod mean variance optimal policies can be decomposed in an orthogonal...
Persistent link: https://www.econbiz.de/10005771850
We compute the breakdown point of the subsampling quantile of a general statistic, and show that it is increasing in the subsampling block size and the breakdown point of the statistic. These results imply fragile subsampling quantiles for moderate block sizes, also when subsampling procedures...
Persistent link: https://www.econbiz.de/10005816513
A random variable dominates another random variable with respect to the covariance order if the covariance of any two monotone increasing functions of this variable is smaller. We characterize completely the covariance order, give strong sufficient conditions for it, present a number of examples...
Persistent link: https://www.econbiz.de/10005258363
We study the robustness of block resampling procedures for time series. We first derive a set of formulas to quantify their quantile breakdown point. For the block bootstrap and the sub- sampling, we find a very low quantile breakdown point. A similar robustness problem arises in relation to...
Persistent link: https://www.econbiz.de/10008479295
We propose a multivariate nonparametric technique for generating reliable historical yield curve scenarios and confidence intervals. The approach is based on a Functional Gradient Descent (FGD) estimation of the conditional mean vector and volatility matrix of a multivariate interest rate...
Persistent link: https://www.econbiz.de/10005132668
This paper studies the termstructure implications of a simple structuralmodel inwhich the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk premium...
Persistent link: https://www.econbiz.de/10005162951
We propose a general robust semiparametric bootstrap method to estimate conditional predictive distributions of GARCH-type models. Our approach is based on a robust estimator for the parameters in GARCH-type models and a robustified resampling method for standardized GARCH residuals, which...
Persistent link: https://www.econbiz.de/10005162990