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Cross-asset signals and time series momentum

Pitkäjärvi, Aleksi; Suominen, Matti; Vaittinen, Lauri - In: Journal of financial economics 136 (2020) 1, pp. 63-85

Persistent link: https://www.econbiz.de/10012545360

A multivariate model of strategic asset allocation

Campbell, John Y.; Chan, Yeung Lewis; Viceira, Luis M. - In: Journal of financial economics 67 (2003) 1, pp. 41-80

Persistent link: https://www.econbiz.de/10001728943

Score driven exponentially weighted moving average and value-at-risk forecasting

Lucas, André; Zhang, Xin - 2014

We present a simple new methodology to allow for time-variation in volatilities using a recursive updating scheme similar to the familiar RiskMetrics approach. It exploits the link between exponentially weighted moving average and integrated dynamics of score driven time varying parameter...

Persistent link: https://www.econbiz.de/10010384110

GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts

Ardia, David; Hoogerheide, Lennart - 2013

Persistent link: https://www.econbiz.de/10010191413

Estimation and forecasting of large realized covariance matrices and portfolio choice

Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - 2014

theoretical performance guarantees on the forecast capability of our procedure. To be precise, we show that we can forecast future … margin at the longer forecast horizons. Finally, we investigate the economic value of our forecasts in a portfolio selection …

Persistent link: https://www.econbiz.de/10010433899