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An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …
Persistent link: https://www.econbiz.de/10011301159
momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of … and risk features than very simple and very complex models. Combinations of two strategies help, in particular, to reduce … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …
Persistent link: https://www.econbiz.de/10011563065
expressions of the expected return and risk on the MV portfolio, the population covariance matrix is always a quadratic form …, which will direct MV portfolio estimation. We provide the limiting behavior of the quadratic form with the sample spectrally … proportionally with the sample size. Moreover, this paper deduces the limiting behavior of the expected return and risk on the …
Persistent link: https://www.econbiz.de/10011456708
different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …
Persistent link: https://www.econbiz.de/10011325661
A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...
Persistent link: https://www.econbiz.de/10010227300
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …
Persistent link: https://www.econbiz.de/10010362976
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …
Persistent link: https://www.econbiz.de/10011379469
Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The …
Persistent link: https://www.econbiz.de/10010533201
An attempt is made to set rules for a fair and fruitful competition between alternative inference methods based on their performance in simulation experiments. This leads to a list of eight methodologic aspirations. Against their background we criticize aspects of many simulation studies that...
Persistent link: https://www.econbiz.de/10011348362
In practice structural equations are often estimated by least-squares, thus neglecting any simultaneity. This paper reveals why this may often be justifiable and when. Assuming data stationarity and existence of the first four moments of the disturbances we find the limiting distribution of the...
Persistent link: https://www.econbiz.de/10011349723