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Predictability hidden by anomalous observations

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013 - This version: March 2013

Persistent link: https://www.econbiz.de/10010221576

The use of the bootstrap method for the assessment of investment effectiveness and risk : the case of confidence intervals estimation for the Sharpe ratio and TailVaR

Klaudia, Jarno; Łukasz, Smaga - In: Journal of banking and financial economics 1 (2020) 13, pp. 40-50

This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial … investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation …, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods …

Persistent link: https://www.econbiz.de/10012887711

Reducing the bias of the smoothed log periodogram regression for financial high-frequency data

Reschenhofer, Erhard; Mangat, Manveer Kaur - In: Econometrics : open access journal 8 (2020) 4/40, pp. 1-16

-range dependencies are present only in the intraday volatility but not in the intraday returns. Finally, the robustness of these findings …

Persistent link: https://www.econbiz.de/10012312096

A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns

Köksal, Bülent - 2009

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...

Persistent link: https://www.econbiz.de/10013159436

Characteristic-sorted portfolios : estimation and inference

Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

Persistent link: https://www.econbiz.de/10011523775

Stock returns and risk : evidence from quantile

Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

Persistent link: https://www.econbiz.de/10011555867

Technical trading revisited : false discoveries, persistence tests, and transaction costs

Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version: Sept. 2009

We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows...

Persistent link: https://www.econbiz.de/10003961414

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

linear restrictions in multivariate linear regression models. The framework allows for unknown forms of non-normalities, and …

Persistent link: https://www.econbiz.de/10009746573

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Persistent link: https://www.econbiz.de/10009535779

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie - 2011

In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

Persistent link: https://www.econbiz.de/10013128856

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