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Time-series efficient factors
Ehsani, Sina; Linnainmaa, Juhani - 2020
Factors in prominent asset pricing models are positively autocorrelated. We derive a transformation that turns an … autocorrelated factor to a ``time-series efficient'' factor. Time-series efficient factors earn significantly higher Sharpe ratios … than the original factors and contain all the information found in the original factors. Momentum strategies profit from …
Persistent link: https://www.econbiz.de/10012244867
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CHICAGO: a fast and accurate method for portfolio risk calculation
Broda, Simon A.; Paolella, Marc S. - 2008
The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysis can be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...
Persistent link: https://www.econbiz.de/10003961455
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The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - 2011
This paper addresses the open debate about the effectiveness and practical relevance of highfrequency (HF) data in portfolio allocation. Our results demonstrate that when used with proper econometric models, HF data offers gains over daily data and more importantly these gains are maintained...
Persistent link: https://www.econbiz.de/10009306337
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The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - 2011
This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a...
Persistent link: https://www.econbiz.de/10009308302
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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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Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 2013 - First version: September 2011, This version: February 2013
This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents of the S&P 500 over a four-year period covering the 2008 financial...
Persistent link: https://www.econbiz.de/10009714536
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Time-varying combinations of Bayesian dynamic models and equity momentum strategies
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016
A novel dynamic asset-allocation approach is proposed where portfolios as well as portfolio strategies are updated at every decision period based on their past performance. For modeling, a general class of models is specified that combines a dynamic factor and a vector autoregressive model and...
Persistent link: https://www.econbiz.de/10011563065
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Conditional Dependency of Financial Series : An Application of Copulas
Rockinger, Michael - 2010
We develop a new methodology that measures conditional dependency. We achieve this by using copula functions that link marginal distributions, here chosen to obey a GARCH-type model with time-varying skewness and kurtosis. We apply this model to daily returns of stock-market indices. We find...
Persistent link: https://www.econbiz.de/10013134882
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Currency Hedging Strategies Using Dynamic Multivariate GARCH
Chang, Chia-Lin - 2012
This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...
Persistent link: https://www.econbiz.de/10013113663
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Strategic Asset Allocation Considerations for German Pension Insurance Funds : Theoretical Analysis and Empirical Evidence - Applying Stochastic Time Series Simulations and Dynamic...
Hertrich, Christian - 2011
Our research project analyses the suitability of social responsible investments (SRI) and alternative asset classes (in particular commodities, hedge fund in-vestments, high-yield bonds) for the portfolio management of German Pension Insurance Funds (Pensionskassen), the largest external...
Persistent link: https://www.econbiz.de/10013120648