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A flexible regime switching model for asset returns

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

A non-Gaussian multivariate regime switching dynamic correlation model for fi nancial asset returns is proposed. It incorporates the multivariate generalized hyperbolic law for the conditional distribution of returns. All model parameters are estimated consistently using a new two-stage...

Persistent link: https://www.econbiz.de/10012051878

Portfolio selection with active risk monitoring

Paolella, Marc S.; Polak, Pawel - 2015

of multivariate financial returns, including volatility clustering, dynamics in the dependency structure, asymmetry …

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

Comfort: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - 2013

model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …

Persistent link: https://www.econbiz.de/10010256409

Machine learning for predicting stock return volatility

Filipović, Damir; Khalilzadeh, Amir - 2021

We use machine learning methods to predict stock return volatility. Our out-of-sample prediction of realised volatility … realised volatility of 43.8% with an R2 being as high as double the ones reported in the literature. We further show that … machine learning methods can capture the stylized facts about volatility without relying on any assumption about the …

Persistent link: https://www.econbiz.de/10012800743

Intra-horizon expected shortfall and risk structure in models with jumps

Farkas, Walter; Mathys, Ludovic; Vasiljević, Nikola - 2019

The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in [BRSW04], [Ro08], [BMK09], [BP10], and [LV19]. In particular, we believe that quantifying market risk by strictly relying on...

Persistent link: https://www.econbiz.de/10012179511

Adjusted expected shortfall

Burzoni, Matteo; Munari, Cosimo-Andrea; Wang, Ruodu - 2020

We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding adjusted Expected Shortfalls quantify risk as the minimum...

Persistent link: https://www.econbiz.de/10012421451

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

Multivariate asset return prediction with mixture models

Paolella, Marc S. - 2011

numerically reliable estimation. Crucially, the distribution theory required for portfolio theory and risk assessment is developed …

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

Disasters, large drawdowns, and long-term asset management

Jondeau, Eric; Pauli, Alexandre - 2021

Long-term investors are often reluctant to invest in assets or strategies that can suffer from large drawdowns. A major challenge for such investors is to gain access to predictions of large drawdowns in order to precisely design strategies minimizing these drawdowns. In this paper, we describe...

Persistent link: https://www.econbiz.de/10012593533