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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach

Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - 2009

so far. One reason is certainly the increasing complexity of the statistical theory, which is commonly referred to as the … the copula theory with the aim of detecting significant long-term level changes in the supervisory portfolio's dependence … ; multivariate Spearman's rho ; time-varying copula ; asymptotic test theory ; hierarchical testing ; control chart theory …

Persistent link: https://www.econbiz.de/10003846947

Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach

Gaißer, Sandra Caterina - 2016

Persistent link: https://www.econbiz.de/10012989258

Many Risks, One (Optimal) Portfolio

Homescu, Cristian - 2014

Persistent link: https://www.econbiz.de/10013050012

The Correlation Matrix Under General Conditions : Robust Inference and Fully Flexible Stress Testing and Scenarios for Financial Portfolios (Presentation Slides)

Opdyke, J.D - 2022

validated by well-established results from the Random Matrix Theory literature, even as the geometric approach is more robust …

Persistent link: https://www.econbiz.de/10013289954

Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach

Gaisser, Sandra; Memmel, Christoph; Schmidt, Rafael; … - 2009

Persistent link: https://www.econbiz.de/10010298783

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

We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...

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

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

Investors' behavior in alternative asset classes

Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55

investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss …

Persistent link: https://www.econbiz.de/10014246136

Beta-sorted portfolios

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

nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm …

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

Fund-of-Funds Construction by Statistical Multiple Testing Methods

Wolf, Michael; Wunderli, Dan - 2009

Fund-of-funds (FoF) managers face the task of selecting a (relatively) small number of hedge funds from a large universe of candidate funds. We analyse whether such a selection can be successfully achieved by looking at the track records of the available funds alone, using advanced statistical...

Persistent link: https://www.econbiz.de/10014203754