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Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang; Virbickaite, Audrone - 2022
propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship … show that investment portfolios, based on the proposed DSM copula model, are more accurate and produce better economic …
Persistent link: https://www.econbiz.de/10013258038
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Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang; Virbickaitė, Audronė - In: Energy economics 124 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014480067
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Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach
Nguyen, Hoang; Javed, Farrukh - 2021
generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between … stock returns and bond returns. A GAS MIDAS copula decomposes their relationship into a short-term dependence and a long … proposed GAS MIDAS copula models are more effective in optimal portfolio allocation and improve the accuracy in risk management …
Persistent link: https://www.econbiz.de/10012654485
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Dynamic relationship between stock and bond returns: a GAS MIDAS copula approach
Nguyen, Hoang; Javed, Farrukh - 2021
generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between … stock returns and bond returns. A GAS MIDAS copula decomposes their relationship into a short-term dependence and a long … proposed GAS MIDAS copula models are more effective in optimal portfolio allocation and improve the accuracy in risk management …
Persistent link: https://www.econbiz.de/10012668024
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Is the currency risk priced in equity markets?
Giurda, Francesco; Tzavalis, Elias - 2004
In this paper we investigate whether the currency risk is priced in international stock markets. We suggest a parsimonious version of the international capital asset pricing model with an EGARCH-M(1,1) specification of the second moments' dynamics of stock and currency returns, assuming that the...
Persistent link: https://www.econbiz.de/10010284112
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Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity
Dubrana, Ludovic - 2011
Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...
Persistent link: https://www.econbiz.de/10013118101
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Are public and private asset returns and risks the same? : evidence from real estate data
Hoesli, Martin; Oikarinen, Elias - 2013
This article aims to investigate the similarity of public and private real estate returns and risks over the relatively long horizon using data for the U.S and the U.K. The results show evidence of a one-to-one relationship between publicly traded REIT performance and privately traded direct...
Persistent link: https://www.econbiz.de/10010256953
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The Inverted Parabola World of Classical Quantitative Finance : Non-Equilibrium and Non-Perturbative Finance Perspective
Halperin, Igor - 2020
Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a negative mass oscillator with a noise. This paper...
Persistent link: https://www.econbiz.de/10012826182
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Phases of MANES : Multi-Asset Non-Equilibrium Skew Model of a Strongly Non-Linear Market with Phase Transitions
Halperin, Igor - 2022
This paper presents an analytically tractable and practically-oriented model of non-linear dynamics of a multi-asset market in the limit of a large number of assets. The asset price dynamics are driven by money flows into the market from external investors, and their price impact. This leads to...
Persistent link: https://www.econbiz.de/10013294125
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Non-Equilibrium Skewness, Market Crises, and Option Pricing : Non-Linear Langevin Model of Markets with Supersymmetry
Halperin, Igor - 2021
This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM)...
Persistent link: https://www.econbiz.de/10013251128