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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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Determinants of asymmetric return comovements of gold and other financial assets
Poshakwale, Sunil S.; Mandal, Anandadeep - In: International review of financial analysis 47 (2016), pp. 229-242
Persistent link: https://www.econbiz.de/10011624131
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Risk on-risk off : a regime switching model for active portfolio management
Dapena, José P.; Serur, Juan Andrés; Siri, Julián R. - 2019
which depending on the market states signaled by the level of volatility spread. We have documented that effectively, there … capital. We then propose the volatility spread as the active management factor into the Carhart's model used to evaluate …
Persistent link: https://www.econbiz.de/10012146691
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Realized semicovariances : empirical applications to volatility forecasting and portfolio optimization
Ricco, Rafael; Ziegelmann, Flávio A. - In: Revista Brasileira de Finanças : RBFin 21 (2023) 3, pp. 99-122
Persistent link: https://www.econbiz.de/10014442583
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Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models
Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10014429053
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Forecasting hedge fund volatility : a Markov regime-switching approach
Blazsek, Szabolcs; Downarowicz, Anna - In: The European journal of finance 19 (2013) 3/4, pp. 243-275
Persistent link: https://www.econbiz.de/10010243653
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Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
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Cluster analysis for regime identification and forecasting with application to the enhanced index tracking problem
Paulo, Wanderlei Lima de; Costa, Oswaldo Luiz do Valle - In: Investment management and financial innovations 11 (2014) 3, pp. 44-52
Persistent link: https://www.econbiz.de/10010512184
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Linear predictability vs. bull and bear market models in strategic asset allocation decisions : evidence from UK data
Guidolin, Massimo; Hyde, Stuart - 2012
Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets...
Persistent link: https://www.econbiz.de/10009658243
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Hidden Markov model for stock selection
Nguyen, Nguyet; Nguyen, Dung - In: Risks : open access journal 3 (2015) 4, pp. 455-473
market index (S&P 500) and market volatility (VIX). At the end of each month, we calibrate HMM's parameters for each of these …
Persistent link: https://www.econbiz.de/10011402656