Similar Search Results

Forecasting value-at-risk under temporal and portfolio aggregation

Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a …

Persistent link: https://www.econbiz.de/10011431503

Does risk seeking drive asset prices? : A stochastic dominance analysis of aggregate investor preferences

Post, Thierry; Levy, Haim - 2002

Persistent link: https://www.econbiz.de/10001689309

Stock selection strategies in emerging markets

Hart, Jaap van der; Slagter, Erica; Dijk, Dick van - 2000

Persistent link: https://www.econbiz.de/10001546180

Equilibrium under uncertain inflation : a discrete time approach

Levy, Haim - In: Journal of financial and quantitative analysis : JFQA 22 (1987) 3, pp. 285-297

Persistent link: https://www.econbiz.de/10001037500

The investment home bias with peer effect

Levy, Haim - In: Journal of risk and financial management : JRFM 13 (2020) 5/94, pp. 1-19

Observed international diversification implies an investment home bias (IHB). Can bivariate preferences with a local domestic peer group rationalize the IHB? For example, it is argued that wishing to have a large correlation with the Standard and Poor's 500 stock index (S&P 500 stock index) may...

Persistent link: https://www.econbiz.de/10012304869

Stock selection strategies in emerging markets

Hart, Jaap van; Slagter, Erica; Dijk, Dick van - 2001

country selection is incorporated into the strategies, but the risk of thestrategies increases proportionally. Second, we test …. We find no evidence of higher market risk or lower liquidity ofthe strategies. Instead, based on the developments of …

Persistent link: https://www.econbiz.de/10011313928

Prediciting the daily covariance matrix for S&P 100 stocks using intraday data - but which frequency to use?

Pooter, Michiel de; Martens, Martin; Dijk, Dick van - 2005

Persistent link: https://www.econbiz.de/10003155816

Predicting the daily covariance matrix for S&P 100 stocks using intraday data : but which frequency to use?

Pooter, Michiel de; Martens, Martin; Dijk, Dick van - 2006

This paper investigates the merits of high-frequency intraday data when forming minimum variance portfolios and minimum tracking error portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue of determining the optimal sampling frequency,...

Persistent link: https://www.econbiz.de/10011346450

Backtesting Value-at-Risk and expected shortfall in the presence of estimation error

Barendse, Sander; Kole, Erik; Dijk, Dick van - 2019

backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk …

Persistent link: https://www.econbiz.de/10012057163