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Observation driven mixed-measurement dynamic factor models with an application to credit risk

Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, … - 2011

simulation, thus enabling straightforward parameter estimation by standard maximum likelihood. We use the new mixed …

Persistent link: https://www.econbiz.de/10011383248

Time-varying combinations of Bayesian dynamic models and equity momentum strategies

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of …

Persistent link: https://www.econbiz.de/10011563065

Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios : A General Dynamic Factor Model Approach

Hallin, Marc; Trucíos, Carlos - 2021

strategies. Unfortunately, due to the curse of dimensionality, their accurate estimation and forecast in large portfolios is …

Persistent link: https://www.econbiz.de/10013242339

The Impact of Model Instability on Long-Term Investors

Diris, Bart F. - 2014

Should long-term investors account for time-variation in model parameters? We develop a time-varying Vector Autoregressive model that can handle time-variation in intercepts, slopes, volatility and correlation, the leverage effect in volatility and fat tails. Long-term investors should take...

Persistent link: https://www.econbiz.de/10013049185

Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns

Gribisch, Bastian - 2018

We propose a dynamic factor state-space model for high-dimensional covariance matrices of asset returns. It uses observed risk factors and assumes that the latent covariance matrix of assets and factors is observed through their realized covariance matrix with a Wishart measurement density. The...

Persistent link: https://www.econbiz.de/10012908082

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

has for the selection of pairs of cointegrated stock prices and for the estimation and prediction of the spread between … estimation and prediction of the spread - the deviation from the equilibrium relationship - which leads to better results in …

Persistent link: https://www.econbiz.de/10010259626

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19

model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … the estimation and prediction of the spread-the deviation from the equilibrium relationship-which leads to better results …

Persistent link: https://www.econbiz.de/10011505854

Bayesian inference for latent factor copulas and application to financial risk forecasting

Schamberger, Benedikt; Gruber, Lutz F.; Czado, Claudia - In: Econometrics : open access journal 5 (2017) 2, pp. 1-23

Factor modeling is a popular strategy to induce sparsity in multivariate models as they scale to higher dimensions. We develop Bayesian inference for a recently proposed latent factor copula model, which utilizes a pair copula construction to couple the variables with the latent factor. We use...

Persistent link: https://www.econbiz.de/10011654443

Sparse Multivariate Modeling for Stock Returns Predictability

Bernardi, Mauro; Bianchi, Daniele; Bianco, Nicolas - 2021

We develop a new variational Bayes estimation method for large-dimensional sparse vector autoregressive models with …

Persistent link: https://www.econbiz.de/10013239660

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745