Narrow search
Showing 1 - 10 of 87
Cover Image
Portfolio optimization when risk factors are conditionally varying and heavy tailed
Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - Center for Financial Studies - 2006
. Here we propose a practical approach to portfolio selection. It takes both the conditionally varying volatility and the fat …
Persistent link: https://www.econbiz.de/10010958549
Cover Image
Multivariate normal mixture GARCH
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006
the fourth moment, and provide expressions for the dynamic correlation structure of the process. These results are also … further financial applications, such as regime-dependent correlation structures and leverage effects. …
Persistent link: https://www.econbiz.de/10010958777
Cover Image
Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - Center for Financial Studies - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10010986387
Cover Image
Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus; Mittnik, Stefan - Center for Financial Studies - 2008
accounting for volatility regimes from both a statistical and economic perspective, including out-of-sample portfolio selection …
Persistent link: https://www.econbiz.de/10010986398
Cover Image
Asymmetric multivariate normal mixture GARCH
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2008
fourth moment are derived, and expressions for the dynamic correlation structure of the process are provided. In an …
Persistent link: https://www.econbiz.de/10010986460
Cover Image
Asymmetric Multivariate Normal Mixture GARCH
Haas, Markus; Mittnik, Stefan; Paolella, Mark S. - Center for Financial Studies - 2008
fourth moment are derived, and expressions for the dynamic correlation structure of the process are provided. In an …
Persistent link: https://www.econbiz.de/10005007626
Cover Image
Multivariate Normal Mixture GARCH
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006
the fourth moment, and provide expressions for the dynamic correlation structure of the process. These results are also … further financial applications, such as regime-dependent correlation structures and leverage effects. …
Persistent link: https://www.econbiz.de/10005138847
Cover Image
Portfolio Optimization wehn Risk Factors are Conditionally Varying and Heavy Tailed
Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - Center for Financial Studies - 2006
. Here we propose a practical approach to portfolio selection. It takes both the conditionally varying volatility and the fat …
Persistent link: https://www.econbiz.de/10005600451
Cover Image
Multivariate Regime–Switching GARCH with an Application to International Stock Markets
Haas, Markus; Mittnik, Stefan - Center for Financial Studies - 2008
accounting for volatility regimes from both a statistical and economic perspective, including out–of–sample portfolio selection …
Persistent link: https://www.econbiz.de/10005176449
Cover Image
Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - Center for Financial Studies - 2009
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …
Persistent link: https://www.econbiz.de/10010986436