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Carry Trade Strategies with Factor Augmented Macro Fundamentals : A Dynamic Markov-Switching Factor Model
Ogruk-Maz, Gokcen - 2017
This paper evaluates the performance of carry trade strategies with macro fundamentals in a Markov switching dynamic factor augmented regression framework and compares the performance statistics with the benchmark model of a random walk and momentum strategy. I make simulations with the Japanese...
Persistent link: https://www.econbiz.de/10012963675
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Modeling and estimation of synchronization in size-sorted portfolio returns
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 4, pp. 129-140
reflects a link between financial returns and real economic activity from the viewpoint of ‘financial accelerator theory’ where …
Persistent link: https://www.econbiz.de/10013471198
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A generalized entropy approach to portfolio selection under a hidden markov model
MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25
is employed for the estimation of the hidden Markov model including the asset return parameters, while the out …
Persistent link: https://www.econbiz.de/10013375264
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A Stochastic Spread & Co-integration Approach to Pairs Trading in a Regime- Switching Environment
Findsen, Frederik; Pedersen, Jens - 2022
co-integration approach, with a Markov regime-switching component. The empirical results show that the strategies deliver … trading, and in addition to this, extends the literature by introducing a regime-switching component in the co-integration …
Persistent link: https://www.econbiz.de/10013405706
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Global economic divergence and portfolio capital flows to emerging markets
Mandalinci, Zeyyad; Mumtaz, Haroon - 2015
This paper studies the role of global and regional variations in economic activity and policy in developed world in driving portfolio capital flows (PCF) to emerging markets (EMs) in a Factor Augmented Vector Autoregressive (FAVAR) framework. Results suggest that PCFs to EMs depend mainly on...
Persistent link: https://www.econbiz.de/10011372822
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Are REITs real estate? : evidence from international sector level data
Hoesli, Martin; Oikarinen, Elias - 2012
The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...
Persistent link: https://www.econbiz.de/10009558452
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Testing the CVAR in the Fractional CVAR Model
Johansen, Soren - 2017
We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the test statistic for the ususal CVAR model is asymptotically chi-squared distributed. Because the usual CVAR model lies on the boundary of the parameter space for the...
Persistent link: https://www.econbiz.de/10012944463
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Portfolio Optimization : A Combined Regime-Switching and Black–Litterman Model
Fischer, Edwin O. - 2013
Traditionally portfolios are optimized with the single-regime Markowitz model using the volatility as the risk measure and the historical return as the expected return. This study shows the effects that a regime-switching framework and alternative risk measures (modified value at risk and...
Persistent link: https://www.econbiz.de/10013088189
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Cross hedging stock sector risk with index futures by considering the global equity systematic risk
Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17
This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A state-dependent volatility spillover...
Persistent link: https://www.econbiz.de/10011883272
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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Gatarek, Lukasz; Hoogerheide, Lennart F.; Dijk, Herman … - 2014
cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization … 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