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Can bitcoin replace gold in an investment portfolio?

Henriques, Irene; Sadorsky, Perry A. - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-19

several different multivariate GARCH models (dynamic conditional correlation (DCC), asymmetric DCC (ADCC), generalized … orthogonal GARCH (GO-GARCH)) to estimate minimum variance equity portfolios. Both long and short portfolios are considered. An …

Persistent link: https://www.econbiz.de/10011895634

Value-at-risk for South-East Asian stock markets : stochastic volatility vs. GARCH

Quang, Paul Bui; Klein, Tony; Nguyen Nam Hai; Walther, … - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-20

markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance … models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across …

Persistent link: https://www.econbiz.de/10011855291

Asymmetry and leverage with news impact curve perspective in Australian stock returns' volatility during COVID-19

Iqbal, Najam; Manzoor, Muhammad Saqib; Bhatti, Muhammad … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-15

generalised autoregressive conditional heteroskedasticity (GARCH) model and extend the analysis using the exponential GARCH … than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is …

Persistent link: https://www.econbiz.de/10012622818

Bitcoin return volatility forecasting : a comparative study between GARCH and RNN

Shen, Ze; Wan, Qing; Leatham, David J. - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18

forecasting accuracy and risk management efficiency. The results demonstrate that the RNN outperforms GARCH and EWMA in average …

Persistent link: https://www.econbiz.de/10012626254

Volatility in international stock markets : an empirical study during COVID-19

Chaudhary, Rashmi; Bakhshi, Priti; Gupta, Hemendra - In: Journal of risk and financial management : JRFM 13 (2020) 9/208, pp. 1-17

countries based on GDP using a widely applied econometric model-generalized autoregressive conditional heteroscedasticity (GARCH … variance regressor in GARCH modeling, is found to be positive and significant for all market indices. Furthermore, the results …

Persistent link: https://www.econbiz.de/10012384430

Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23

-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean …

Persistent link: https://www.econbiz.de/10012388728

Forecasting volatility : evidence from the Saudi stock market

Al Rahahleh, Naseem M.; Kao, Robert - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-18

autoregressive conditional heteroskedasticity (GARCH)–class models in terms of their in-sample and out-of-sample forecasting accuracy … 2015. The results suggest that the Asymmetric Power of ARCH (APARCH) model is the most accurate model in the GARCH class …

Persistent link: https://www.econbiz.de/10011960525

Assessing commonality in liquidity with principal component analysis : the case of the Warsaw Stock Exchange

Olbryś, Joanna; Majewska, Elżbieta - In: Journal of risk and financial management : JRFM 13 (2020) 12/328, pp. 1-13

The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe are scarce and, in particular, they do not utilize the Principal Component Analysis (PCA) to identify latent factors in liquidity. Therefore, the main aim of this research is to assess commonality...

Persistent link: https://www.econbiz.de/10012403992

Univariate and multivariate GARCH models applied to Bitcoin futures option pricing

Venter, Pierre J.; Maré, Eben - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

futures option pricing methodology based on a multivatiate GARCH model is developed. The empirical results show that a …

Persistent link: https://www.econbiz.de/10012588206

Modelling returns in US housing prices : you're the one for me, fat tails

Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17

investigated the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects … both within- and out-of-sample. We found strong evidence in favour of modelling both GARCH effects and non …

Persistent link: https://www.econbiz.de/10012794370