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Characteristic-sorted portfolios : estimation and inference
Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...
Persistent link: https://www.econbiz.de/10011523775
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Investor Sentiment, Volatility and Stock Return Comovements
Chandra, Abhijeet - 2013
comovements and the other volatility-induced return comovements. Following Baker and Wurglur (2006), we construct an investor … market volatility. We find that a correlated trading behaviour along with investor sentiment significantly determines excess … stock returns. Also stocks with high volatility exhibit higher return comovement properties compared to low volatilie stocks …
Persistent link: https://www.econbiz.de/10013073102
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GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts
Ardia, David; Hoogerheide, Lennart - 2013
Persistent link: https://www.econbiz.de/10010191413
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Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant...
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...
Persistent link: https://www.econbiz.de/10013403261
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Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes
Malhotra, Yogesh - 2022
-asset volatility, variances & correlations, GARCH, MLE.Modeled VaR, QMLE, non-normality, Cornish-Fisher, EVT stochastic models for …
Persistent link: https://www.econbiz.de/10013405318
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Accuracy of mortgage portfolio risk forecasts during financial crises
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: European journal of operational research : EJOR 249 (2016) 2, pp. 440-456
Persistent link: https://www.econbiz.de/10011436707
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Value-at-Risk-Schätzung mit Gauß'schen Mischverteilungen und künstlichen neuronalen Netzen
Prinzler, Ralf - 2001
Persistent link: https://www.econbiz.de/10001583953
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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
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Estimation of correlations in portfolio credit risk models based on noisy security prices
Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Journal of economic dynamics & control 61 (2015), pp. 334-349
Persistent link: https://www.econbiz.de/10011589542
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Nonparametric versus parametric expected shortfall
Martin, R. Douglas; Zhang, Shengyu - In: Journal of risk 21 (2018/2019) 6, pp. 1-41
Persistent link: https://www.econbiz.de/10012117478