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Nonparametric test for a constant beta over a fixed time interval
Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...
Persistent link: https://www.econbiz.de/10010253467
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Portfolio Tail-Risk Protection With Non-linear Latent Factors
Spilak, Bruno; Härdle, Wolfgang Karl - 2023
Tail risk protection is a mantra in portfolio allocation. A common method in this context is the NMFRB allocation. Here, we extend it to drawdown risk measures and show that the proposed portfolios compete with machine learning-based portfolios such as Hierarchical Risk Parity (HRP) and...
Persistent link: https://www.econbiz.de/10014349960
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Risk Budget Portfolios With Convex Non-negative Matrix Factorization
Spilak, Bruno; Härdle, Wolfgang Karl - 2023
We propose a portfolio allocation method based on risk factor budgeting using convex Nonnegative Matrix Factorization (NMF). Unlike classical factor analysis, PCA, or ICA, NMF ensures positive factor loadings to obtain interpretable long-only portfolios. As the NMF factors represent separate...
Persistent link: https://www.econbiz.de/10014350054
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Time-varying Price Discovery
Fruet Dias, Gustavo; Fernandes, Marcelo; Scherrer, … - 2023
We formulate a price discovery model in which the price discovery measures vary either locally, say, for instance, at intervals of 30 minutes or at a daily frequency. Given the empirical and theoretical evidence that price discovery measures relate to highly persistent fundamentals, we adopt a...
Persistent link: https://www.econbiz.de/10014353587
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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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Systemic co-jumps
Caporin, Massimiliano; Kolokolov, Alexey; Renò, Roberto - 2016
The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short …
Persistent link: https://www.econbiz.de/10011544772
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Deep learning, jumps, and volatility bursts
Bashchenko, Oksana; Marchal, Alexis - 2020
We develop a new method that detects jumps nonparametrically in financial time series and significantly outperforms the … generated by a process that experiences both jumps and volatility bursts. As a result, the network learns how to disentangle the …: we obtain fewer spurious detection and identify a larger number of true jumps. When applied to real data, our approach …
Persistent link: https://www.econbiz.de/10012181300
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Jump contagion among stock market indices : evidence from option markets
Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021
This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich …, time and space amplification of jumps in option markets. We develop a semi-parametric estimation procedure employing a …
Persistent link: https://www.econbiz.de/10012650140
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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps …-capitalization stocks traded on the Euronext-Paris Bourse. We find that, at tick frequency, the overnight return, the intraday jumps, and … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …
Persistent link: https://www.econbiz.de/10010256970
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Leverage effect in energy futures
Kristoufek, Ladislav - 2014
We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After estimating the volatility process without assuming...
Persistent link: https://www.econbiz.de/10010407507