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A Multivariate Approach for the Simultaneous Modelling of Market Risk and Credit Risk for Cryptocurrencies
Fantazzini, Dean - 2019
This paper proposes a set of models which can be used to estimate the market risk for a portfolio of crypto-currencies, and simultaneously to estimate also their credit risk using the Zero Price Probability (ZPP) model by Fantazzini et al (2008), which is a methodology to compute the...
Persistent link: https://www.econbiz.de/10012863029
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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 exogenous predictors. Unlike existing Markov chain Monte Carlo (MCMC) and variational Bayes (VB) algorithms, our approach is not based on a structural form representation of the...
Persistent link: https://www.econbiz.de/10013239660
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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian - 2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
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Value, Momentum and Market Timing
Filippou, Ilias - 2016
We study firm-level characteristics that a manager would employ as signalling tools in order to time the market (i … time-variation of the strategies providing a unique explanation for momentum crashes …
Persistent link: https://www.econbiz.de/10013005248
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Diversification Decisions of Individual Investors and Asset Prices
Kumar, Alok - 2022
This paper examines the relation between equity portfolio diversification choices of individual investors and stock … diversification clientele based portfolios can explain cross-sectional variations in returns for a considerable subset of stocks. The … diversification choices of individual investors influence stock returns …
Persistent link: https://www.econbiz.de/10014236135
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Decisions, Stocks, and Time Diversification
McLeavey, Dennis W. - 2013
This paper presents three definitions of time diversification and analyzes their implications for investment horizons …. Using decision quality criteria and methodology, we question standard advice. In analyzing time diversification with a … minimum of assumptions, we answer two main questions: how to rigorously define time diversification and what conditions favor …
Persistent link: https://www.econbiz.de/10013089732
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Regime-Based Tactical Allocation for Equity Factors and Balanced Portfolios
Flint, Emlyn James - 2017
It is now an accepted fact that the majority of financial markets worldwide are neither normal nor constant, and South Africa is no exception. One idea that can be used to understand such markets and has been gaining popularity recently is that of regimes and regime-switching models. In this...
Persistent link: https://www.econbiz.de/10012952837
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Dynamic Portfolio Management Strategies : A Framework for Historical Analysis
Seymour, Anthony - 2018
The performance of dynamic trading and investment strategies can be difficult to predict. Although not without its problems, analysis of the historical performance of a strategy can provide valuable insight into its general risk and return properties. Furthermore, historical analysis allows one...
Persistent link: https://www.econbiz.de/10012914668
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Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory : illustrated with Crypto Assets
Deng, Qi; Zhou, Zhong-Guo - 2023
We establish innovative measures of liquidity premium Beta on both asset and portfolio levels, and corresponding liquidity-adjusted return and volatility, for selected crypto assets. We develop a liquidity-adjusted ARMA-GARCH/EGARCH representation to model the liquidity-adjusted return for...
Persistent link: https://www.econbiz.de/10014349884
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Combination of multivariate volatility forecasts
Amendola, Alessandra; Storti, Giuseppe - 2009
This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional systems by means of a two-step strategy. The finite...
Persistent link: https://www.econbiz.de/10003796201