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Optimal Asset Allocation with Factor Models for Large Portfolios

Pesaran, M. Hashem; Zaffaroni, Paolo - CESifo - 2008

This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is assumed that the joint distribution of asset returns is characterized by a general factor...

Persistent link: https://www.econbiz.de/10005765686

The Factor-Spline-GARCH Model for High and Low Frequency Correlations

Rangel, Jose Gonzalo; Engle, Robert F. - Banco de México - 2009

, including determinants of market and idiosyncratic volatilities. Flexibility in the time varying level of mean reversion …

Persistent link: https://www.econbiz.de/10004974501

Monetary policy regimes: Implications for the yield curve and bond pricing

Filipova, Kameliya; Audrino, Francesco; De Giorgi, Enrico - In: Journal of Financial Economics 113 (2014) 3, pp. 427-454

We develop a multivariate dynamic term structure model, which takes into account the nonlinear (time-varying) relation …

Persistent link: https://www.econbiz.de/10010906183

Improving market-based forecasts of short-term interest rates: Time-varying stationarity and the predictive content of switching regime-expectations

Ahrens, Ralf - Center for Financial Studies - 1999

. Technically, they allow for potential time-varying stationarity. After discussing both aspects with reference to the recent …

Persistent link: https://www.econbiz.de/10010958750

Nonlinearity, Volatility and Fractional Integration in Daily Oil Prices: Smooth Transition Autoregressive ST-FI(AP)GARCH Models

Bildirici, Melike; Ersin, Özgür Ömer - In: Journal for Economic Forecasting (2014) 3, pp. 108-135

to model and forecast various financial time series. In the empirical section, an application is provided to model the …

Persistent link: https://www.econbiz.de/10010938020

Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands

Staszewska-Bystrova, Anna; Winker, Peter - In: Central European Journal of Economic Modelling and … 6 (2014) 2, pp. 89-104

The recent financial crisis has seen huge swings in corporate bond spreads. It is analyzed what quality VAR-based forecasts would have had prior and during the crisis period. Given that forecasts of the mean of interest rates or financial market prices are subject to large uncertainty...

Persistent link: https://www.econbiz.de/10010837046

Is the Currency Risk Priced in Equity Markets?

Giurda, Francesco; Tzavalis, Elias - School of Economics and Finance, Queen Mary - 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/10005106469

Value-at-Risk and Expected Shortfall when there is long range dependence.

Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...

Persistent link: https://www.econbiz.de/10005678005

A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter

Tsay, Wen-Jen; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

Persistent link: https://www.econbiz.de/10005678044

Long Memory Persistence in the Factor of Implied Volatility Dynamics

Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … the IV S itself and their movements across time by a multivariate time series of factor loadings. This paper focuses on … long time, affecting significantly stock prices. For appropriate representation of the series dynamics and the possibility …

Persistent link: https://www.econbiz.de/10005678046