Narrow search
Showing 1 - 10 of 14,672
Cover Image
Portfolio rebalancing based on time series momentum and downside risk
Guo, Xiaoshi; Ryan, Sarah - 2021
To examine the familiar tradeoff between risk and return in financial investments, we use a rolling two-stage stochastic program to compare mean-risk optimization models with time series momentum strategies. In a backtest of allocating investment between a market index and a risk-free asset, we...
Persistent link: https://www.econbiz.de/10013247805
Cover Image
Short and Long Memory in Stock Returns Data
Onali, Enrico - 2012
The properties of an iterative procedure for the estimation of the parameters of an ARFIMA process are investigated in … a Monte Carlo study. The estimation procedure is applied to stock returns data for 15 countries …
Persistent link: https://www.econbiz.de/10013106073
Cover Image
Approximate Maximum Likelihood Estimates for Stock and Index Returns with Stochastic Volatility, Stochastic Jump Intensity, and Infinite-Activity Jumps
Wilson, David - 2018
The Bates (2006) Approximate Maximum Likelihood (AML) method is considered from a practical point of view. Application of the AML method is undertaken using FFT with splines for integration. Results are validated by both simulation and comparison to MCMC literature. The SVJ model is estimated...
Persistent link: https://www.econbiz.de/10012932241
Cover Image
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
Cover Image
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
Cover Image
Jump Robust Daily Covariance Estimation by Disentangling Variance and Correlation Components
Boudt, Kris - 2012
-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate … covariance estimation and the jump robustness of the estimator are illustrated in a simulation study. In an application to the …
Persistent link: https://www.econbiz.de/10013115577
Cover Image
Models for heavy-tailed asset returns
Borak, Szymon; Misiorek, Adam; Weron, Rafał - 2010
portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest … return ; Random number generation ; Parameter estimation …
Persistent link: https://www.econbiz.de/10008663369
Cover Image
Simulation-Based Excess Return Model for Real Estate Development : A Practical Monte Carlo Simulation-Based Method for Quantitative Risk Management and Project Valuation for Real E...
Gimpelevich, David J. - 2010
The Simulation-Based Excess Return Model (SERM) offers a simple, practical decision-making method for underwriting real estate development projects. It addresses the shortcomings of discounted cash flow modeling by taking into account the probabilistic distribution of outcomes and is based on...
Persistent link: https://www.econbiz.de/10013147513
Cover Image
Higher Order Realized Power Variations of Semi-Martingales with Applications
Koike, Yuta - 2014
The realized power variations with even order of a discretely observed semi-martingale have been widely studied in literature, due to some important applications in finance, for example, estimating the integrated volatility and integrated quarticity. However, few works have paid attention to the...
Persistent link: https://www.econbiz.de/10013053805
Cover Image
The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
Dobrev, Dobrislav - 2011
exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …
Persistent link: https://www.econbiz.de/10013128339