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Sparse Multivariate Modeling for Stock Returns Predictability

Bernardi, Mauro; Bianchi, Daniele; Bianco, Nicolas - 2021

We develop a new variational Bayes estimation method for large-dimensional sparse vector autoregressive models with …

Persistent link: https://www.econbiz.de/10013239660

Assets' Dependence Structure Implications for Portfolio Insurance

Mantilla-Garcia, Daniel - 2018

estimation of the multiplier of these portfolio insurance strategies. We illustrate these implications with a maximum relative …

Persistent link: https://www.econbiz.de/10012911729

Modeling and Forecasting Realized Portfolio Weights

Golosnoy, Vasyl; Gribisch, Bastian - 2020

We propose direct multiple time series models for predicting high dimensional vectors of observable realized global minimum variance portfolio (GMVP) weights computed based on high-frequency intraday returns. We apply Lasso regression techniques, develop a class of multiple AR(FI)MA models for...

Persistent link: https://www.econbiz.de/10014352129

Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

Gatarek, Lukasz T. - 2014

model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … normalization for the estimation and prediction of the spread — the deviation from the equilibrium relationship — which leads to …

Persistent link: https://www.econbiz.de/10013056713

Tactic Asset Allocation and Conditional Return Expectations

Davidsson, Marcus - 2014

We will in this paper investigate if a Tactic Asset Allocation (TAA) decision tool such as the slope of a moving average on the asset return will result in a statistical higher profit for an investor compared to a simple random investment strategy. The result indicates that a moving average...

Persistent link: https://www.econbiz.de/10013052743

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

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

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19

model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … the estimation and prediction of the spread-the deviation from the equilibrium relationship-which leads to better results …

Persistent link: https://www.econbiz.de/10011505854

Equity Machine Factor Models

Noguer i Alonso, Miquel; Zoonekynd, Vincent - 2022

We examine in this paper the training and test set performance of several equity factor models with a dataset of 20 years of data, 1,200 stocks and 100 factors. First, we examine several models to forecast expected returns, which can be used as baselines for more complex models: linear...

Persistent link: https://www.econbiz.de/10014255242

Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns

Stöckl, Sebastian - 2016

In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns. Adding to the work of Maio (2016), who finds cross-sectional volatility to forecast a decline in the equity premium with high predictive power in-sample as well as...

Persistent link: https://www.econbiz.de/10012996822

An Analysis on the Predictability of CAPM Beta for Momentum Returns

Cenesizoglu, Tolga - 2016

This paper demonstrates that the forecasted CAPM beta of momentum portfolios explains a large portion of the return, ranging from 40% to 60% for stock level momentum, and 30% to 50% for industry level momentum. Beta forecasts are from a realized beta estimator using daily returns over the prior...

Persistent link: https://www.econbiz.de/10013005838