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Element-by-element estimation of a volatility matrix : an Italian portfolio simulation
Naccarato, Alessia; Pierini, Andrea - In: Investment management and financial innovations 11 (2014) 3, pp. 34-43
Persistent link: https://www.econbiz.de/10010512185
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A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection
Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Tong, Yongbo - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012659611
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A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun; Jia, Huameng; Mao, Tiantian - In: Scandinavian actuarial journal 2022 (2022) 3, pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
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Optimal Hedging with the Cointegrated Vector Autoregressive Model
Gatarek, Lukasz T. - 2014
(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio.We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite …
Persistent link: https://www.econbiz.de/10013045676
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Linear predictability vs. bull and bear market models in strategic asset allocation decisions : evidence from UK data
Guidolin, Massimo; Hyde, Stuart - 2012
Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets...
Persistent link: https://www.econbiz.de/10009658243
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Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 205 (2018) 2, pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
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Managing portfolio risk during crisis times : a dynamic conditional correlation perspective
Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251
Persistent link: https://www.econbiz.de/10014494675
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Portfolio risk forecasting - on the predictive power of multivariate dynamic copula models
Aepli, Matthias Daniel - 2015
Persistent link: https://www.econbiz.de/10010510833
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Optimal hedging with the Vector Autoregressive model
Gatarek, Lukasz; Johansen, Søren - 2014
with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite …
Persistent link: https://www.econbiz.de/10010244526
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Transmission of shocks across global real estate and equity markets : an examination of the 2007-2008 housing crisis
Yunus, Nafeesa - In: Applied economics 50 (2018) 36, pp. 3899-3922
Persistent link: https://www.econbiz.de/10012060163