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CHICAGO: a fast and accurate method for portfolio risk calculation

Broda, Simon A.; Paolella, Marc S. - 2008

The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysis can be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...

Persistent link: https://www.econbiz.de/10003961455

Multivariate asset return prediction with mixture models

Paolella, Marc S. - 2011

The use of mixture distributions for modeling asset returns has a long history in finance. New methods of demonstrating support for the presence of mixtures in the multivariate case are provided. The use of a two-component multivariate normal mixture distribution, coupled with shrinkage via a...

Persistent link: https://www.econbiz.de/10009375153

Portfolio selection with active risk monitoring

Paolella, Marc S.; Polak, Pawel - 2015

The paper proposes a framework for large-scale portfolio optimization which accounts for all the major stylized facts of multivariate financial returns, including volatility clustering, dynamics in the dependency structure, asymmetry, heavy tails, and nonellipticity. It introduces a so-called...

Persistent link: https://www.econbiz.de/10011410659

A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs

Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - 2019

Covariance matrix forecasts for portfolio optimization have to balance sensitivity to new data points with stability in order to avoid excessive rebalancing. To achieve this, a new robust orthogonal GARCH model for a multivariate set of non-Gaussian asset returns is proposed. The conditional...

Persistent link: https://www.econbiz.de/10012134234

Stable mixture GARCH models

Broda, Simon A.; Haas, Markus; Krause, Jochen; … - 2011

A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...

Persistent link: https://www.econbiz.de/10009313940

Heterogeneous tail generalized common factor modeling

Hediger, Simon; Näf, Jeffrey; Paolella, Marc S.; … - 2021

A multivariate normal mean-variance heterogeneous tails mixture distribution is proposed for the joint distribution of financial factors and asset returns (referred to as Factor-HGH). The proposed latent variable model incorporates a Cholesky decomposition of the dispersion matrix to ensure a...

Persistent link: https://www.econbiz.de/10012799624

Market efficiency reloaded: why insider trades do not reveal exploitable information

Dickgiesser, Sebastian; Kaserer, Christoph - 2008

by a subset of stocks with high arbitrage risk as measured by their idiosyncratic volatility. This restrains arbitrageurs … from engaging in otherwise profitable and price-correcting trades. As arbitrage risk is positively related to a stock's bid … mainly be explained by the cost associated with risky arbitrage. Our findings provide evidence that the German stock market …

Persistent link: https://www.econbiz.de/10010305695

Market liquidity risk: an overview

Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...

Persistent link: https://www.econbiz.de/10010305705

Measuring market liquidity risk - which model works best?

Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...

Persistent link: https://www.econbiz.de/10010305708

DAXplus family: Ein Aktienindex zur Darstellung der Performance von Familienunternehmen

Achleitner, Ann-Kristin; Kaserer, Christoph; Kauf, Tobias; … - 2010

In January 2010 the Deutsche Börse Group introduced two family firm stock indices. Both indices are calculated as price and performance indices and extend the number of investment strategy indices of Deutsche Börse Group. The DAXplus Family is an all-share index whereas the DAXplus Family 30...

Persistent link: https://www.econbiz.de/10010305712