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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
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Time-varying combinations of Bayesian dynamic models and equity momentum strategies
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016
momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of …
Persistent link: https://www.econbiz.de/10011563065
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On the correlation between commodity and equity returns : implications for portfolio allocation
Lombardi, Marco; Ravazzolo, Francesco - 2013
Persistent link: https://www.econbiz.de/10009782578
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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
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
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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
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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
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Option-implied information and predictability of extreme returns
Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...
Persistent link: https://www.econbiz.de/10010226098
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'Deja Vol' Revisited : Survey Forecasts of Macroeconomic Variables Predict Volatility in the Cross-Section of Industry Portfolios
Conrad, Christian - 2018
We investigate the question whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP and industrial production growth from the Federal Reserve's Survey of Professional Forecasters predict volatility...
Persistent link: https://www.econbiz.de/10012917967
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Portfolio allocation for European markets with predictability and parameter uncertainty
Jondeau, Eric; Rockinger, Michael - 2010
We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...
Persistent link: https://www.econbiz.de/10008797745
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Mixed-Frequency Predictive Regressions with Parameter Learning
Leippold, Markus; Yang, Hanlin - 2023
Bayesian investor. We develop a constrained parameter learning approach for sequential estimation allowing for belief revisions …
Persistent link: https://www.econbiz.de/10014348997