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Dynamic correlation or tail dependence hedging for portfolio selection

Elkamhia, Redouane; Stefanova, Denitsa - 2010

We solve for the optimal portfolio allocation in a setting where both conditional correlation and theclustering of … when dynamic conditional correlation has been accounted for, andvice versa. Both effects have distinct portfolio … varying levels of average correlation and tail dependence coefficients. …

Persistent link: https://www.econbiz.de/10011383108

Detecting serial dependence in tail events

Diks, Cees G. H. - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10011327543

Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2016

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the...

Persistent link: https://www.econbiz.de/10011536626

Analysis of spatial disparities by a structural equations model

Cracolici, Maria Francesca; Cuffaro, Miranda; Nijkamp, Peter - 2008

This paper presents a new analytical framework for assessing spatial disparities among countries. It takes for granted that the analysis of a country’s performance cannot be limited solely to either economic or social factors. The aim of the paper is to combine relevant economic and...

Persistent link: https://www.econbiz.de/10011376493

Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization

Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing Keung - 2016

.We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral … findings are consistent with the theory developed in the paper. …

Persistent link: https://www.econbiz.de/10011456708

The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models

Bun, Maurice J. G.; Kiviet, J. F. - 2002

Persistent link: https://www.econbiz.de/10001718452

A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model

Abadir, Karim Maher; Lucas, André - 2000

Persistent link: https://www.econbiz.de/10001471423

Identification and inference in a simultaneous equation under alternative information sets and sampling schemes

Kiviet, J. F. - 2012

Persistent link: https://www.econbiz.de/10010190991

Changing returns to education in Portugal during the 1980s and early 1990s : OLS and quantile regression estimators

Hartog, Joop; Pereira, Pedro Telhado; Vieira, José … - 1999

This paper examines the evolution of the returns to education in Portugal over the 1980s andearly 1990s. The main findings indicate that the returns to education have increased,particularly after joining the European Union in 1986. Since this occurred along with anincrease in the level of...

Persistent link: https://www.econbiz.de/10011300558

A real options perspective on R&D portfolio diversification

Bekkum, Sjoerd van; Pennings, Enrico; Smit, Han T. J. - 2008

-like characteristics, correlation between projects plays a more complicated role than traditional portfolio diversification would suggest …. Real option theory argues that research projects with conditional phases have option-like risk and return properties, and … are different from unconditional projects. We show that although the risk of a portfolio always depends on the correlation …

Persistent link: https://www.econbiz.de/10011373815