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Global and Asset Class Diversified ETF Portfolio Strategy - A Convex Mean/CVaR Optimization Approach using Dynamic Copulas with Flexible Probabilities

Mantesso F, Flavio; Ahmed, Joe; Flores, Mauro - 2023

One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...

Persistent link: https://www.econbiz.de/10014254526

Currency Hedging Strategies Using Dynamic Multivariate GARCH

Chang, Chia-Lin - 2012

volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of … Chang et al. [17], we estimate four multivariate volatility models (namely CCC, VARMA-AGARCH, DCC and BEKK), and calculate …

Persistent link: https://www.econbiz.de/10013113663

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Tansuchat, Roengchai - 2010

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

Persistent link: https://www.econbiz.de/10013149486

Extreme learning with chemical reaction optimization for stock volatility prediction

Nayak, Sarat; Mishra, Bijan Bihari - In: Financial innovation : FIN 6 (2020) 16, pp. 1-23

network without compromising prediction accuracy. We evaluate its performance by predicting the daily volatility and closing …

Persistent link: https://www.econbiz.de/10012268745

A novel hybrid approach to forecast crude oil futures using intraday data

Manickavasagam, Jeevananthan; Visalakshmi, S.; … - In: Technological forecasting & social change : an … 158 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012516847

Ethanol Hedging Strategies Using Dynamic Multivariate GARCH

Garcia, Sergio - 2016

Ethanol has been the subject of intense debate following the adoption of the Energy Policy Act of 2005 (EPAct) which established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging ratios using dynamic multivariate GARCH to best...

Persistent link: https://www.econbiz.de/10012979327

Lasso-Type and Heuristic Strategies in Model Selection and Forecasting

Savin, Ivan - 2012

Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...

Persistent link: https://www.econbiz.de/10013099334

Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data

Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - 2008

Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called quot;soft dollarsquot; which basically are amounts spent in quot;researchquot; for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD...

Persistent link: https://www.econbiz.de/10003966616

Lasso-type and heuristic strategies in model selection and forecasting

Savin, Ivan; Winker, Peter - 2012

Persistent link: https://www.econbiz.de/10009630302

Forecasting of future stock prices using neural networks and genetic algorithms

Mitilineos, Stelios A.; Artikis, Panayiotis G. - In: International journal of decision sciences, risk and … 7 (2017) 1/2, pp. 2-25

Persistent link: https://www.econbiz.de/10011797297