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Risk management with thinly traded securities : methodology and implementation
Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013
risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …
Persistent link: https://www.econbiz.de/10011303812
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On the use of spectral value decomposition for the construction of composite indices
Farnia, Luca - 2019
High dimensional composite index makes experts' preferences in setting weights a hard task. In the literature, one of the approaches to derive weights from a data set is Principal Component or Factor Analysis that, although conceptually different, they are similar in results when FA is based on...
Persistent link: https://www.econbiz.de/10011999119
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Common and country specific economic uncertainty
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial variables into contributions from country-specific uncertainty and uncertainty common to all countries. We find that the common component plays an important role in driving the...
Persistent link: https://www.econbiz.de/10011306276
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The impact of uncertainty shocks under measurement error : a proxy SVAR approach
Carriero, Andrea; Mumtaz, Haroon; Theodoridis, Konstantinos - 2013
A growing empirical literature has considered the impact of uncertainty using SVAR models that include proxies for uncertainty shocks as endogenous variables. In this paper we consider the possible impact of measurement error in the uncertainty shock proxies on the estimated impulse responses...
Persistent link: https://www.econbiz.de/10009784657
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Diversification benefits of commodities : a stochastic dominance efficiency approach
Daskalaki, Charoula; Skiadopoulos, George; Topaloglou, … - 2016
We revisit the question whether commodities should be included in investors' portfolios. We employ for the first time a stochastic dominance efficiency (SDE) approach to construct optimal portfolios with and without commodities and we evaluate their comparative performance. SDE circumvents the...
Persistent link: https://www.econbiz.de/10011473894
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Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang; Virbickaite, Audrone - 2022
Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...
Persistent link: https://www.econbiz.de/10013258038
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Ordering ambiguous acts
Jewitt, Ian; Mukerji, Sujoy - 2017
We investigate what it means for one act to be more ambiguous than another. The question is evidently analogous to asking what makes one prospect riskier than another, but beliefs are neither objective nor representable by a unique probability. Our starting point is an abstract class of...
Persistent link: https://www.econbiz.de/10011694759
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Aggregate implications of corporate bond holdings by nonfinancial firms
Ferreira, Miguel H. - 2023
model, I show that declining real interest rates since the 1980s increased the risk premium, driving the increase in risky …
Persistent link: https://www.econbiz.de/10014455419
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International asset allocation under regime switching, skew and kurtosis preferences
Guidolin, Massimo (contributor);  … - 2005
"This paper proposes a new tractable approach to solving asset allocation problems in situations with a large number of risky assets which pose problems for standard numerical approaches. Investor preferences are assumed to be defined over moments of the wealth distribution such as its skewness...
Persistent link: https://www.econbiz.de/10002977388
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Mortality improvement rates : modeling, parameter uncertainty and robustness
Hunt, Andrew; Villegas, Andrés M. - 2020
Persistent link: https://www.econbiz.de/10012585895