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Market transparency and the marking precision of bond mutual fund managers
Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2014 - June 4, 2014, First Draft: September 3, 2013
TRACE dissemination and introductions of issuers into Markit's Credit Default Swap spread database. We find large and … statistically significant decreases in mark dispersion of newly disseminated bonds around key TRACE system rollout events …. Dispersion for large, investment grade bonds fell 20% to 83% after the start of TRACE reporting. We also find evidence of …
Persistent link: https://www.econbiz.de/10010379247
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Market transparency and the marking precision of bond mutual fund managers
Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2014
mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit’s CDS database …. Disseminated bonds show large and statistically significant decreases in mark dispersion around three key TRACE system rollout … events. Dispersion for large, investment grade bonds fell 20% to 83% after the start of TRACE reporting. A difference …
Persistent link: https://www.econbiz.de/10010373710
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Market transparency and the marking precision of bond mutual fund managers
Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2013 - This Draft: September 3, 2013
fund managers before and after initiations of TRACE and introductions of issuers into Markit's CDS database. Disseminated … bonds show large and statistically significant decreases in mark dispersion around three key TRACE system rollout events …% after the start of TRACE reporting. A difference-in-differences regression analysis of the two-stage rollout of BBB …
Persistent link: https://www.econbiz.de/10010207843
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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian - 2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
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Selecting volatility forecasting models for portfolio allocation purposes
Becker, Ralf; Clements, Adam; Doolan, M. B.; Hurn, Stan - In: International journal of forecasting 31 (2015) 3, pp. 849-861
Persistent link: https://www.econbiz.de/10011474597
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Russian-doll risk models
Kakushadze, Zura - In: The journal of asset management 16 (2015) 3, pp. 170-185
Persistent link: https://www.econbiz.de/10011413287
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Machine learning and factor-based portfolio optimization
Conlon, Thomas; Cotter, John; Kynigakis, Iason - 2021
Persistent link: https://www.econbiz.de/10012695791
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A test for the equality of multiple Sharpe ratios
Wright, John; Yam, Sheung Chi Phillip; Yung, Siu Pang - In: Journal of risk 16 (2013/2014) 4, pp. 3-21
Persistent link: https://www.econbiz.de/10013262931
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Adjusting covariance matrix for risk management
Yu, Philip L. H.; Ng, F. C.; Ting, Jessica K. W. - In: Quantitative finance 20 (2020) 10, pp. 1681-1699
Persistent link: https://www.econbiz.de/10012295631
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Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier
Yilmaz, Hilal; Pearson, Neil D. - In: International journal of computational economics and … 6 (2016) 1, pp. 71-92
Persistent link: https://www.econbiz.de/10011588856