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Forecast ranked tailored equity portfolios

Buncic, Daniel; Stern, Cord - In: Journal of international financial markets, … 63 (2019), pp. 1-16

Persistent link: https://www.econbiz.de/10012263321

Dynamic asset allocation with ambiguous return predictability

Chen, Hui; Ju, Nengjiu; Miao, Jianjun - In: Review of economic dynamics 17 (2014) 4, pp. 799-823

Persistent link: https://www.econbiz.de/10011281431

Asset pricing model uncertainty and portfolio choice

Carrasco, Ignacio; Hansen, Erwin - In: Finance research letters 45 (2022), pp. 1-7

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Modeling and forecasting macroeconomic downside risk

Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2021

Persistent link: https://www.econbiz.de/10012612441

Monthly beta forecasting with low-, medium- and high-frequency stock returns

Cenesizoglu, Tolga; Liu, Qianqiu; Reeves, Jonathan J.; … - In: Journal of forecasting 35 (2016) 6, pp. 528-541

Persistent link: https://www.econbiz.de/10011595959

Time-series momentum : a Monte-Carlo approach

Cheng, Enoch; Struck, Clemens - 2019

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

Persistent link: https://www.econbiz.de/10011990919

Modeling and forecasting macroeconomic downside risk

Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2020

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On the modelling and forecasting multivariate realized volatility : Generalized Heterogeneous Autoregressive (GHAR) model

Baruník, Jozef; Čech, František - 2014

We introduce a methodology for dynamic modelling and forecasting of realized covariance matrices based on generalization of the heterogeneous autoregressive model (HAR) for realized volatility. Multivariate extensions of popular HAR framework leave substantial information unmodeled in residuals....

Persistent link: https://www.econbiz.de/10010429957

On the modelling and forecasting of multivariate realized volatility : generalized heterogeneous autoregressive (GHAR) model

Čech, František; Baruník, Jozef - In: Journal of forecasting 36 (2017) 2, pp. 181-206

Persistent link: https://www.econbiz.de/10011729136

Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets

Ayala, Astrid; Blazsek, Szabolcs; Licht, Adrian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 5, pp. 705-731

Persistent link: https://www.econbiz.de/10014506866

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