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The dynamic Black-Litterman approach to asset allocation
Harris, Richard D. F.; Stoja, Evarist; Tan, Linzhi - 2016
Persistent link: https://www.econbiz.de/10011480647
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Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?
Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31
(beta), as indicated by the single-factor Capital Asset Pricing Model (CAPM), and the multifactor Fama-French Three …
Persistent link: https://www.econbiz.de/10012872607
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Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds
Petrova, Mariana; Todorov, Teodor - In: Risks : open access journal 11 (2023) 11, pp. 1-30
forecasting the daily volatility of Bulgarian investment funds, which will support the investment community in making adequate … investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 ….1) are adapted to predict the volatility of investment funds. The current development focuses on forecasting the risk …
Persistent link: https://www.econbiz.de/10014436423
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The economic value of volatility timing with realized jumps
Nolte, Ingmar; Xu, Qi - In: Journal of empirical finance 34 (2015), pp. 45-59
Persistent link: https://www.econbiz.de/10011556992
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Portfolio constructions with Bayesian GARCH forecasts
Polasek, Wolfgang; Momtchil, M. - In: Operations research proceedings 2000 : selected papers …, (pp. 119-126). 2001
Persistent link: https://www.econbiz.de/10001571447
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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On equity risk prediction and tail spillovers
Pouliasis, Panos; Kyriakou, Ioannis; Papapostolou, Nikos - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 379-393
Persistent link: https://www.econbiz.de/10011960379
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Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol; Dakos, Michael - In: Quantitative finance 23 (2023) 3, pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
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Forecasting Stock Market Volatility and Application to Volatility Timing Portfolios
Ryu, Doojin - 2022
This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset … predictive performance relative to the standard volatility models. Furthermore, we construct volatility timing portfolios and …
Persistent link: https://www.econbiz.de/10014238092
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Forecasting Stock Market Volatility and Application to Volatility Timing Portfolios
Chun, Dohyun; Cho, Hoon; Ryu, Doojin - 2022
This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset … predictive performance relative to the standard volatility models. Furthermore, we construct volatility timing portfolios and …
Persistent link: https://www.econbiz.de/10013404229