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The financial economics literature proposes dozens of performance measures to be used, for instance, to compare, analyze, rank and select assets. There is thus a problem: which measures should be considered? The authors extend the current literature by comparing a large set of performance...
Persistent link: https://www.econbiz.de/10010304749
The financial economics literature proposes dozens of performance measures to be used, for instance, to compare, analyse, rank and select assets. There is thus a problem: which measures should be considered? We extend the current literature by comparing a large set of performance measures over...
Persistent link: https://www.econbiz.de/10010305983
Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on...
Persistent link: https://www.econbiz.de/10010326487
The financial economics literature proposes dozens of performance measures to be used, for instance, to compare, analyse, rank and select assets. There is thus a problem: which measures should be considered? We extend the current literature by comparing a large set of performance measures over...
Persistent link: https://www.econbiz.de/10009238661
Persistent link: https://www.econbiz.de/10009767006
In this note we provide the analytical gradient of the full model likelihood of the DCC specification of Engle (2002), the generalized version of Cappiello et al. (2006), and of the cDCC model of Aielli (2008)
Persistent link: https://www.econbiz.de/10013132023
The financial economics literature proposes dozens of performance measures to be used, for instance, to compare, analyze, rank and select assets. There is thus a problem: which measures should be considered? The authors extend the current literature by comparing a large set of performance...
Persistent link: https://www.econbiz.de/10013124108
Within an asset allocation framework, when the number of assets is larger than the sample dimension, mean-variance approaches cannot be used due to the limited number of degrees of freedom. In such a situation, performance measures could be used to rank assets, and then select a subset of them...
Persistent link: https://www.econbiz.de/10013160438
Most multivariate variance models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on multivariate models with...
Persistent link: https://www.econbiz.de/10013153078
In the mutual funds industry the rating process is very important, and Morningstar is surely the most influential international rating agency.In this work we consider the problem of evaluating if the risk component is adequately accounted for in the Morningstar rating. To face this problem we...
Persistent link: https://www.econbiz.de/10013159694