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Copula-based factor models for multivariate asset returns
Ivanov, Eugen; Min, Aleksey; Ramsauer, Franz - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24
Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...
Persistent link: https://www.econbiz.de/10011654435
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Hidden Markov and Semi-Markov models with multivariate leptokurtic-normal components for robust modeling of daily returns series
Maruotti, Antonello; Punzo, Antonio; Bagnato, Luca - In: Journal of financial econometrics 17 (2019) 1, pp. 91-117
Persistent link: https://www.econbiz.de/10012054429
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Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations
Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87
Persistent link: https://www.econbiz.de/10010380478
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Dynamic return-volume relations in the Saudi stock market : evidence from quantiles regressions
Alwagdani, Othman - In: International journal of economics and finance 7 (2015) 11, pp. 84-93
Persistent link: https://www.econbiz.de/10011401211
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Optimal returns in Indian stock market during global pandemic : a comparative study
Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-13
This research is an extension of our previous work [Debnath and Srivastava (2021)]. In that paper, we designed a portfolio based on data taken from National Stock Exchange (NSE), India, during 1 January 2020 to 31 December 2020 and performance of that portfolio in real-life situation was...
Persistent link: https://www.econbiz.de/10012799165
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Optimizing stock market returns during global pandemic using regression in the context of Indian stock market
Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10
Stock markets around the world experienced a massive collapse during the first wave of COVID-19. Roughly in the month of January 2021, the second wave of COVID-19 struck in India, reaching its peak in May, and by the end of May, the active cases started to decline. A third wave is again...
Persistent link: https://www.econbiz.de/10012627066
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Connectedness of cryptocurrencies and gold returns : evidence from frequency-dependent quantile regressions
Owusu Junior, Peterson; Adam, Anokye M.; Tweneboah, George - In: Cogent economics & finance 8 (2020) 1, pp. 1-19
18 April 2019 are employed within the Ensemble Empirical Mode Decomposition and Quantile-in-Quantile regression …
Persistent link: https://www.econbiz.de/10013179510
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How to combine a billion alphas
Kakushadze, Zura; Yu, Willie - In: The journal of asset management 18 (2017) 1, pp. 64-80
Persistent link: https://www.econbiz.de/10011592763
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Jump regressions
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
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Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
Allen, David E.; Singh, Abhay K.; Powell, Robert J.; … - 2013
associated extreme quantile dependence usinglinear and non linear quantile regression approach. Our goal in this paper is … todemonstrate that the relationship between the volatility and market return as quantifiedby Ordinary Least Square (OLS) regression … between price and volatility. In the empiricalanalysis we compare the results from linear quantile regression (LQR) and …
Persistent link: https://www.econbiz.de/10010326227