Narrow search
Showing 1 - 10 of 26,880
Cover Image
Testing momentum effectfor the US market : from equity to option strategies
Siri, Julián R.; Serur, Juan A.; Dapena, José P. - 2017
Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …
Persistent link: https://www.econbiz.de/10011757486
Cover Image
An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28
-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …
Persistent link: https://www.econbiz.de/10012388066
Cover Image
Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19
This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …
Persistent link: https://www.econbiz.de/10012309325
Cover Image
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012
In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...
Persistent link: https://www.econbiz.de/10009576319
Cover Image
Empirical evidence on jumps and large fluctuations in individual stocks
Doung, Diep; Swanson, Norman R. - 2011
contribution to overall realized variation and their contribution to predictive regressions of realized volatility. We find … individual stocks. -- Itô semi-martingale ; realized volatility ; jumps ; quadratic volatility ; multipower variation ; tripower …
Persistent link: https://www.econbiz.de/10009151972
Cover Image
Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10011431370
Cover Image
Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets
Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16
This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...
Persistent link: https://www.econbiz.de/10012292914
Cover Image
Multiple tests for the performance of different investment strategies
Frahm, Gabriel; Wickern, Tobias; Wiechers, Christof - 2010
In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of approaches is considered in this work, including the...
Persistent link: https://www.econbiz.de/10008939375
Cover Image
Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011
Following Levy and Roll [2010], we posit that the market portfolio is the efficient tangent Markowitz portfolio, i.e., it is mean-variance efficient. We then reverse engineer the expected returns and variance terms with constraints imposed by empirical data on a hierarchy of asset baskets. This...
Persistent link: https://www.econbiz.de/10009009611
Cover Image
Are REITs real estate? : evidence from international sector level data
Hoesli, Martin; Oikarinen, Elias - 2012
The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...
Persistent link: https://www.econbiz.de/10009558452