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The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

Dobrev, Dobrislav - 2011

frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …

Persistent link: https://www.econbiz.de/10013128339

Robust iInference in linear asset pricing models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2012

We derive new results on the asymptotic behavior of the estimated parameters of a linear asset pricing model and their associated t-statistics in the presence of a factor that is independent of the returns. The inclusion of this "useless" factor in the model leads to a violation of the full rank...

Persistent link: https://www.econbiz.de/10009670360

Improving Portfolios Global Performance with Robust Covariance Matrix Estimation : Application to the Maximum Variety Portfolio

Emmanuelle, Jay - 2018

This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but the same improvements apply also in the other optimisation...

Persistent link: https://www.econbiz.de/10012918912

Errors, robustness, and the fourth quadrant

Taleb, Nassim Nicholas - In: International journal of forecasting 25 (2009) 4, pp. 744-759

Persistent link: https://www.econbiz.de/10003921416

Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR

Deng, Xue; Liang, Ying - In: Computational economics 61 (2023) 1, pp. 267-294

Persistent link: https://www.econbiz.de/10014228426

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

Beta-sorted portfolios

Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2023

Beta-sorted portfolios - portfolios comprised of assets with similar covariation to selected risk factors - are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...

Persistent link: https://www.econbiz.de/10014333333

Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10011523781

A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data

Lam, Clifford; Feng, Phoenix - In: Journal of econometrics 206 (2018) 1, pp. 226-257

Persistent link: https://www.econbiz.de/10012110378

Bayesian nonparametric measurement of factor betas and clustering with application to hedge fund returns

Garay, Urbi; Horst, Enrique ter; Molina, German; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23

alphas and betas, which exhibit high volatility, especially in periods which can be identified as times of stressful market …

Persistent link: https://www.econbiz.de/10011505836

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