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Interdependence of NAFTA Capital Markets : A Minimum Variance Portfolio Approach

López Herrera, Francisco - 2015

We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio” that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in...

Persistent link: https://www.econbiz.de/10013011782

Risk-Factor Portfolios and Financial Stability

Garita, Gus - 2010

By utilizing the extreme dependence structure and the conditional probability of joint failure (CPJF) among risk factors, this paper characterizes a risk-stability index (RSI) that quantifies (i) common distress of risk factors, (ii) distress between specific risk factors, and (iii) distress to...

Persistent link: https://www.econbiz.de/10013150335

The euro and international capital markets

Detken, Carsten; Hartmann, Philipp - 2000

a special emphasis on the first year of the euro. A contribution is made as to how to measure these roles, both for … identification of changes in the role of the euro during 1999 compared to the aggregate of euro predecessor currencies, net of intra … -euro area assets/liabilities, before stage 3 of EMU. A number of key factors determining the currency distribution of …

Persistent link: https://www.econbiz.de/10009767695

Forecasting returns with machine learning and optimizing global portfolios : evidence from the Korean and U.S. stock markets

Chun, Dohyun; Kang, Jongho; Kim, Jihun - In: Financial innovation : FIN 10 (2024), pp. 1-30

This study employs a variety of machine learning models and a wide range of economic and financial variables to enhance the forecasting accuracy of the Korean won-U.S. dollar (KRW/USD) exchange rate and the U.S. and Korean stock market returns. We construct international asset allocation...

Persistent link: https://www.econbiz.de/10015359391

Exchange Rate Prediction with Machine Learning and a Smart Carry Portfolio

Filippou, Ilias - 2020

We establish the out-of-sample predictability of monthly exchange rate changes via machine learning techniques based on 70 predictors capturing country characteristics, global variables, and their interactions. To guard against overfitting, we use the elastic net to estimate a high-dimensional...

Persistent link: https://www.econbiz.de/10012847704

Time-Series Momentum : Is It There?

Huang, Dashan - 2020

Time series momentum (TSM) refers to the predictability of the past 12-month return on the next one-month return and is the focus of several recent influential studies. This paper shows that asset-by-asset time series regressions reveal little evidence of TSM, both in- and out-of-sample. While...

Persistent link: https://www.econbiz.de/10012852463

Forecast Ranked Tailored Equity Portfolios

Buncic, Daniel - 2019

We use a dynamic model averaging (DMA) approach to construct forecasts of individual equity returns for a large cross-section of stocks contained in the SP500, FTSE100, DAX30, CAC40 and SPX30 headline indices, taking value, momentum, and quality factors as predictor variables. Fixing the set of...

Persistent link: https://www.econbiz.de/10012897247

Cross-Sectional Return Dispersion and Currency Momentum

Eriksen, Jonas Nygaard - 2019

I assess the relation between cross-sectional return dispersion in foreign exchange (FX) markets and currency momentum. I find that cross-sectional dispersion is priced in the cross-section of currency momentum returns and that an unexpected increase in cross-sectional dispersion is associated...

Persistent link: https://www.econbiz.de/10012901550

The Parametrization of an International Equity Portfolio : A Decomposition of Global Momentum Returns

Reschenhofer, Christoph - 2018

Using a parametric portfolio optimization approach, I show how international momentum strategies can be significantly improved by decomposing global momentum returns. The parametrization models the optimal portfolio weights as a function of the decomposed components and overweights equity...

Persistent link: https://www.econbiz.de/10012915065

Momentum in the Indian Equity Markets : Positive Convexity and Positive Alpha

Srivastava, Sonam - 2019

We present effective momentum strategies over the liquid equity futures market in India. We evaluate and determine the persistence of the returns at various look-backs ranging from quarterly and weekly to more granular look-backs. We look at a universe of the liquid equity instruments traded...

Persistent link: https://www.econbiz.de/10012891432