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Does non-linear factorization of financial returns help build better and stabler portfolios?
Spilak, Bruno; Härdle, Wolfgang K. - 2022
A portfolio allocation method based on linear and non-linear latent constrained conditional factors is presented. The factor loadings are constrained to always be positive in order to obtain long-only portfolios, which is not guaranteed by classical factor analysis or PCA. In addition, the...
Persistent link: https://www.econbiz.de/10013292299
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Understanding Jumps in High Frequency Digital Asset Markets
Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, … - 2021
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little … digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading … volume seasonalities. Regressions show that intra-day jumps significantly influence end of day returns in size and direction …
Persistent link: https://www.econbiz.de/10013323741
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TEDAS - Tail Event Driven Asset Allocation
Nasekin, Sergey - 2020
In this study, we develop a two-step asset allocation strategy that identifies the tail risk of a benchmark asset and uses multi-moment dynamic portfolio selection to account for possible conditional non-normality of portfolio returns. The TEDAS - Tail Event Asset Allocation strategy is based on...
Persistent link: https://www.econbiz.de/10012823196
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Tail Event Driven Networks of SIFIs
Chen, Cathy - 2017
The interdependence, dynamics and riskiness of financial institutions are the key features frequently tackled in financial econometrics. We propose a Tail Event driven Network Quantile Regression (TENQR) model which addresses these three aspects. More precisely, our framework captures the risk...
Persistent link: https://www.econbiz.de/10012941580
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TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data
Chen, Ray-Bing - 2017
Source extraction and dimensionality reduction are important in analyzing high dimensional and complex financial time series that are neither Gaussian distributed nor stationary. Independent component analysis (ICA) method can be used to factorize the data into a linear combination of...
Persistent link: https://www.econbiz.de/10012966314
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Composite Quantile Regression for the Single-Index Model
Fan, Yan - 2017
Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one faces, as in mean regression, a dimensionality problem. We propose a...
Persistent link: https://www.econbiz.de/10012966535
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Analysis of Deviance in Generalized Partial Linear Models
Härdle, Wolfgang K. - 2017
We develop analysis of deviance tools for generalized partial linear models based on local polynomial fitting. Assuming a canonical link, we propose expressions for both local and global analysis of deviance, which admit an additivity property that reduces to ANOVA decompositions in the Gaussian...
Persistent link: https://www.econbiz.de/10012966537
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Tail Event Driven ASset Allocation : Evidence from Equity and Mutual Funds’ Markets
Härdle, Wolfgang K. - 2017
Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...
Persistent link: https://www.econbiz.de/10012966562
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From Animal Baits to Investors’ Preference : Estimating and Demixing of the Weight Function in Semiparametric Models for Biased Samples
Ritov, Ya'acov - 2017
We consider two semiparametric models for the weight function in a biased sample model. The object of our interest parametrizes the weight function, and it is either Euclidean or non Euclidean. One of the models discussed in this paper is motivated by the estimation the mixing distribution of...
Persistent link: https://www.econbiz.de/10012966245
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Shapley Curves : A Smoothing Perspective
Miftachov, Ratmir; Keilbar, Georg; Härdle, Wolfgang K. - 2022
dependence among the features. This allows us to construct confidence intervals and conduct inference on the estimated Shapley …
Persistent link: https://www.econbiz.de/10014237071